Geodesic
The martingale method of shortfall risk minimization in a discrete time market
Marek Andrzej Kociński1
1 Katedra Zastosowań Matematyki Wydział Zastosowań Informatyki i Matematyki Szkoła Główna Gospodarstwa Wiejskiego w Warszawie Nowoursynowska 159 02-776 Warszawa, Polska
Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 413-424.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.
DOI : 10.4064/am39-4-2
Keywords: shortfall risk minimization problem investor who hedges contingent claim studied shown nonnegativity final wealth imposed optimal strategy finite market model obtained super hedging contingent claim connected martingale measure which solution auxiliary maximization problem

Marek Andrzej Kociński 1

1 Katedra Zastosowań Matematyki Wydział Zastosowań Informatyki i Matematyki Szkoła Główna Gospodarstwa Wiejskiego w Warszawie Nowoursynowska 159 02-776 Warszawa, Polska 
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Marek Andrzej Kociński. The martingale method of shortfall risk minimization in a discrete time market. Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 413-424. doi : 10.4064/am39-4-2. http://geodesic.mathdoc.fr/articles/10.4064/am39-4-2/

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