Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches

Abstract

We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim in a binomial market model and the initial capital is insufficient for a perfect hedge. This problem has been solved under complete information on the underlying model in [3]. We present two possible solutions to the same problem in the case of incomplete… (More)
DOI: 10.1007/s001860100127

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Cite this paper

@article{Favero2001ShortfallRM, title={Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches}, author={Gino Favero}, journal={Math. Meth. of OR}, year={2001}, volume={53}, pages={493-503} }