A minimizing shortfall risk strategy for an insider

zbMATH Open1199.91112MaRDI QIDQ3640964FDOQ3640964

Authors: Jianqi Yang, Qingxian Xiao 

Publication date: 11 November 2009

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zbMATH Keywords

jump-diffusion modelshortfall riskinsider

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited In (3)

• Minimization of shortfall risk in a jump-diffusion model
• A time before which insiders would not undertake risk
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING

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