Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints

Yumiharu Nakano

Applied Mathematical Finance, 2003, vol. 10, issue 2, 163-181

Abstract: The paper studies the problem of minimizing coherent risk measures of shortfall for general discrete-time financial models with cone-constrained trading strategies, as developed by Pham and Touzi. It is shown that the optimal strategy is obtained by super-hedging a contingent claim, which is represented as a Neyman-Pearson-type random variable.

Keywords: coherent risk measure; shortfall risk; constrained strategy; super-hedging; convex duality (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/1350486032000102924 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apmtfi:v:10:y:2003:i:2:p:163-181

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAMF20

DOI: 10.1080/1350486032000102924

Access Statistics for this article

Applied Mathematical Finance is currently edited by Professor Ben Hambly and Christoph Reisinger

More articles in Applied Mathematical Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().