A minimizing shortfall risk strategy for an insider

MaRDI QIDQ3640964zbMATHFDO

Authors Jianqi Yang, Qingxian Xiao

Publication date 11 November 2009

zbMATH Keywords

jump-diffusion modelshortfall riskinsider

Mathematics Subject Classification ID

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

Recommendations

• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
• Minimization of shortfall risk in a jump-diffusion model
• Insiders' hedging in a jump diffusion model
• Insider models with finite utility in markets with jumps
• The martingale method of shortfall risk minimization in a discrete time market

Cited in

(3)

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

This page was built for publication: A minimizing shortfall risk strategy for an insider

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3640964)