Minimizing Shortfall Risk and Applications to Finance and Insurance Problems
We consider a controlled process governed by Xx,θ= x + ∫θ dS + Hθ, where S is a semimartingale, Θ the set of control processes θ is a convex subset of L(S) and Hθ: θ∈Θ is a concave family of adapted processes with finite variation. We study the problem of minimizing the shortfall risk defined as the...
| Veröffentlicht in: | The Annals of Applied Probability. - Institute of Mathematical Statistics. - 12(2002), 1, Seite 143-172 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2002
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| Zugriff auf das übergeordnete Werk: | The Annals of Applied Probability |
| Schlagworte: | Shortfall Risk Minimization Semimartingales Optional Decomposition under Constraints Duality Theory Finance and Insurance Mathematics Applied sciences Economics Political science Physical sciences |
| Online verfügbar |
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