Minimizing shortfall risk and applications to finance and insurance problems
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Publication:1872413
DOI10.1214/aoap/1015961159zbMath1015.93071OpenAlexW2059498346MaRDI QIDQ1872413
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
hedgingsemimartingalesduality theoryconstrained portfoliosdual controlshortfall risk minimizationfinance and insuranceoptional decomposition under constraints
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integrals (60H05) Optimality conditions for problems involving randomness (49K45)
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