Shortfall risk minimization in a discrete regime switching model
From MaRDI portal
Publication:2644370
Recommendations
- Shortfall risk minimization in discrete time financial market models
- Minimization of shortfall risk in a jump-diffusion model
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Shortfall risk minimising strategies in the binomial model: characterisation and convergence
- The martingale method of shortfall risk minimization in a discrete time market
- Risk Minimizing Option Pricing in a Regime Switching Market
- Quadratic risk minimization in a regime-switching model with portfolio constraints
- Robustness of shortfall risk minimising strategies in the binomial model
- Shortfall risk minimization under fixed transaction costs
Cites work
- A stochastic control approach to risk management under restricted information.
- Explicit solutions for shortfall risk minimization in multinomial models.
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 1971733 (Why is no real title available?)
Cited in
(4)- Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches
- Downside risk measurement in regime switching stochastic volatility
- Shortfall risk minimization in discrete time financial market models
- scientific article; zbMATH DE number 1971733 (Why is no real title available?)
This page was built for publication: Shortfall risk minimization in a discrete regime switching model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2644370)
