Geodesic
Large losses—probability minimizing approach
Michał Baran1
1 Institute of Mathematics Polish Academy of Sciences Śniadeckich 8 00-956 Warszawa, Poland
Applicationes Mathematicae, Tome 31 (2004) no. 3, pp. 243-257 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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The probability minimizing problem for large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
DOI : 10.4064/am31-3-1
Keywords: probability minimizing problem large losses portfolio discrete continuous time models studied gives generalization quantile hedging presented

Michał Baran 1

1 Institute of Mathematics Polish Academy of Sciences Śniadeckich 8 00-956 Warszawa, Poland 
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Michał Baran. Large losses—probability minimizing approach. Applicationes Mathematicae, Tome 31 (2004) no. 3, pp. 243-257. doi: 10.4064/am31-3-1

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