Good deal bounds induced by shortfall risk
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Publication:3074983
DOI10.1137/090769120zbMATH Open1205.91148arXiv0802.4141OpenAlexW2110358476MaRDI QIDQ3074983FDOQ3074983
Authors: Takuji Arai 
Publication date: 10 February 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds of good deal pricing bounds are expressed by convex risk measures on Orlicz hearts. In addition, we obtain its representation with the minimal penalty function. Moreover, we give a representation, for two simple cases, of good deal bounds and calculate the optimal strategies when a claim is traded at the upper or lower bounds of its good deal pricing bound.
Full work available at URL: https://arxiv.org/abs/0802.4141
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Portfolio theory (91G10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Stochastic integrals (60H05)
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- GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
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- Beyond cash-additive risk measures: when changing the numéraire fails
- Fundamental theorem of asset pricing with acceptable risk in markets with frictions
- Robustness of Delta Hedging in a Jump-Diffusion Model
- Maximum Lebesgue extension of monotone convex functions
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