Explicit solutions for shortfall risk minimization in multinomial models. (Q1862742)

The authors show how to obtain an explicit solution for the shortfall risk minimization in multinomial models. Their result generalizes the results of \textit{W. J. Runggaldier, B. Trivellato} and \textit{T. Vargilou}, [Prog. Probab. 52, 243-258 (2002; Zbl 1060.91086)] which states that the minimal shortfall is the difference between the arbitrage free price and the initial capital, times the minimum of the density dP/dQ. First the result is obtained for the complete model and then for incomplete trinomial model.