Minimizing shortfall risk and applications to finance and insurance problems

DOI10.1214/aoap/1015961159zbMath1015.93071MaRDI QIDQ1872413

Huyên Pham

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015961159

zbMATH Keywords

hedging; semimartingales; duality theory; constrained portfolios; dual control; shortfall risk minimization; finance and insurance; optional decomposition under constraints

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

60H05: Stochastic integrals

49K45: Optimality conditions for problems involving randomness

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