Gain-loss based convex risk limits in discrete-time trading
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Publication:693201
DOI10.1007/S10287-010-0122-7zbMATH Open1253.91180OpenAlexW2048734069MaRDI QIDQ693201FDOQ693201
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
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- Stochastic finance. An introduction in discrete time
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- Prospect theory and asset prices
- Duality and martingales: a stochastic programming perspective on contingent claims
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- Gain-loss pricing under ambiguity of measure
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
- Towards a General Theory of Good-Deal Bounds*
- Coherent risk measures and good-deal bounds
- Risk measure pricing and hedging in incomplete markets
- Asset pricing with loss aversion
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Pricing early exercise contracts in incomplete markets
- Satisfying convex risk limits by trading
- Pricing and hedging European options with discrete-time coherent risk
Cited In (4)
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