Gain-loss based convex risk limits in discrete-time trading

DOI10.1007/S10287-010-0122-7MaRDI QIDQ693201zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar

Publication date 7 December 2012

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-010-0122-7

zbMATH Keywords

pricingincomplete marketsmartingale measureacceptabilitycontingent claim

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Duality and martingales: a stochastic programming perspective on contingent claims
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• Gain-loss pricing under ambiguity of measure
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Optimization of Convex Risk Functions
• Pricing and hedging European options with discrete-time coherent risk
• Pricing early exercise contracts in incomplete markets
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory and asset prices
• Risk measure pricing and hedging in incomplete markets
• Satisfying convex risk limits by trading
• Stochastic finance. An introduction in discrete time
• Towards a General Theory of Good-Deal Bounds*

Cited in

(4)

• Satisfying convex risk limits by trading
• Gain-loss pricing under ambiguity of measure
• Convex measures of risk and trading constraints
• The best gain-loss ratio is a poor performance measure

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