Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market

zbMATH Open1265.91153MaRDI QIDQ2916596FDOQ2916596

Authors: M. W. Luke Chan, Li'an Qu, Huayue Zhang 

Publication date: 5 October 2012

Published in: Acta Mathematica Scientia. Series A. (Chinese Edition) (Search for Journal in Brave)

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zbMATH Keywords

fractional Brownian motiondownside riskClark-Ocone theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Brownian motion (60J65)

Cited In (2)

• Dynamic risk measure for BSVIE with jumps and semimartingale issues
• DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION

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