CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

DOI10.1111/mafi.12020zbMath1314.91131arXiv1108.1273OpenAlexW2165853397MaRDI QIDQ2875725

Takuji Arai, Masaaki Fukasawa

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.1273

zbMATH Keywords

Orlicz spaceconvex risk measurefundamental theorem of asset pricinggood deal boundrisk indifference price

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Related Items (8)

Market consistent valuations with financial imperfection ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Perfect hedging under endogenous permanent market impacts ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Булевозначный подход к анализу условного риска ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty

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