Satisfying convex risk limits by trading

DOI10.1007/s00780-004-0137-4zbMath1092.91048OpenAlexW2140964880MaRDI QIDQ2488474

Yanyan Li

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0137-4

zbMATH Keywords

convex risk measurescontinuous tradingportfolio representation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (9)

Risk measure pricing and hedging in the presence of transaction costs ⋮ Asymptotic distribution of law-invariant risk functionals ⋮ Risk measure pricing and hedging in incomplete markets ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ Computing strategies for achieving acceptability: a Monte Carlo approach ⋮ Understanding option prices ⋮ Randomized stopping times and coherent multiperiod risk measures ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

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