Minimization of shortfall risk in a jump-diffusion model

DOI10.1016/J.SPL.2003.11.016MaRDI QIDQ2568328zbMATH OpenOpenAlexFDO

Authors Yumiharu Nakano

Publication date 10 October 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2115/69320

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of mathematical programming (90C90)

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Cites work

• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Efficient hedging: cost versus shortfall risk
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Point processes and queues. Martingale dynamics

Cited in

(14)

• Explicit solutions for shortfall risk minimization in multinomial models.
• Dynamic asset allocation with loss aversion in a jump-diffusion model
• Shortfall risk minimization in a discrete regime switching model
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• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• A minimizing shortfall risk strategy for an insider
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• scientific article; zbMATH DE number 2169328 (Why is no real title available?)
• The efficient hedging problem for American options
• Risk minimization in financial markets modeled by Itô-Lévy processes
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility

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