Minimizing shortfall risk and applications to finance and insurance problems
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Publication:1872413
DOI10.1214/aoap/1015961159zbMath1015.93071MaRDI 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
hedging; semimartingales; duality theory; constrained portfolios; dual control; shortfall risk minimization; finance and insurance; optional decomposition under constraints
93E20: Optimal stochastic control
60G44: Martingales with continuous parameter
91G80: Financial applications of other theories
60H05: Stochastic integrals
49K45: Optimality conditions for problems involving randomness
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