Good deal bounds induced by shortfall risk

研究成果: Article査読

9 被引用数 (Scopus)

抄録

We consider, throughout this paper, an incomplete financial market which is governed by a possibly nonlocally bounded right-continuous with left-limits (RCLL) special semimartingale. We shall provide good deal bounds for contingent claims induced by shortfall risk in the framework of the Orlicz heart setting. We prove that the upper and lower bounds of such a good deal bound are expressed by a convex risk measure on an Orlicz heart. In addition, we obtain representation results for three types of model, which are an unconstrained portfolio model, a W-admissible model, and a predictably convex model.

本文言語English
ページ(範囲)1-21
ページ数21
ジャーナルSIAM Journal on Financial Mathematics
2
1
DOI
出版ステータスPublished - 2011

ASJC Scopus subject areas

  • 数値解析
  • 財務
  • 応用数学

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