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Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints

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  • Yumiharu Nakano

Abstract

The paper studies the problem of minimizing coherent risk measures of shortfall for general discrete-time financial models with cone-constrained trading strategies, as developed by Pham and Touzi. It is shown that the optimal strategy is obtained by super-hedging a contingent claim, which is represented as a Neyman-Pearson-type random variable.

Suggested Citation

  • Yumiharu Nakano, 2003. "Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 163-181.
  • Handle: RePEc:taf:apmtfi:v:10:y:2003:i:2:p:163-181
    DOI: 10.1080/1350486032000102924
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    Citations

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    Cited by:

    1. Leonel Perez-hernandez, 2007. "On the existence of an efficient hedge for an American contingent claim within a discrete time market," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 547-551.
    2. A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
    3. Jun-ya Gotoh & Yoshitsugu Yamamoto & Weifeng Yao, 2011. "Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 613-632, December.
    4. Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
    5. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
    6. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath & Hyejin Ku, 2007. "Coherent multiperiod risk adjusted values and Bellman’s principle," Annals of Operations Research, Springer, vol. 152(1), pages 5-22, July.
    7. Mustafa Ç. Pinar, 2010. "Buyer's quantile hedge portfolios in discrete-time trading," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 729-738, October.
    8. Martin Glanzer & Georg Ch. Pflug & Alois Pichler, 2017. "Incorporating statistical model error into the calculation of acceptability prices of contingent claims," Papers 1703.05709, arXiv.org, revised Jan 2019.
    9. Tomasz Tkalinski, 2014. "Convex hedging of non-superreplicable claims in discrete-time market models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 239-252, April.
    10. Nakano, Yumiharu, 2004. "Minimization of shortfall risk in a jump-diffusion model," Statistics & Probability Letters, Elsevier, vol. 67(1), pages 87-95, March.
    11. Birgit Rudloff, 2016. "Convex Hedging in Incomplete Markets," Papers 1604.08070, arXiv.org.
    12. Leonel Pérez-Hernández, 2005. "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," Department of Economics and Finance Working Papers EC200505, Universidad de Guanajuato, Department of Economics and Finance.

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