Outperforming the market portfolio with a given probability
From MaRDI portal
Publication:453241
DOI10.1214/11-AAP799zbMath1259.60072arXiv1006.3224MaRDI QIDQ453241
Erhan Bayraktar, Yu-Jui Huang, Qingshuo Song
Publication date: 19 September 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.3224
viscosity solutions; quantile hedging; nonuniqueness of solutions of nonlinear PDEs; optimal arbitrage; strict local martingale deflators
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G99: Actuarial science and mathematical finance
35A02: Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness
Related Items
Distribution of the time to explosion for one-dimensional diffusions, Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing, Diversity-weighted portfolios with negative parameter, Quantile hedging in a semi-static market with model uncertainty, A Stochastic Target Approach for P&L Matching Problems
Uses Software
Cites Work
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