Large losses - probability minimizing approach

Micha{\l} Barski

Papers from arXiv.org

Abstract: The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].

Date: 2016-01
New Economics Papers: this item is included in nep-rmg
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Published in Applicationes Mathematicae, 2004, 31, 243-257

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