IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1601.03388.html
   My bibliography  Save this paper

Large losses - probability minimizing approach

Author

Listed:
  • Micha{l} Barski

Abstract

The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].

Suggested Citation

  • Micha{l} Barski, 2016. "Large losses - probability minimizing approach," Papers 1601.03388, arXiv.org.
    • Handle: RePEc:arx:papers:1601.03388
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1601.03388
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, vol. 4(2), pages 117-146.
    2. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dominick Samperi, 2002. "Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 71-87, January.
    2. Romain Blanchard & Laurence Carassus & Miklós Rásonyi, 2018. "No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 241-281, October.
    3. Irle, A., 2004. "A measure-theoretic approach to completeness of financial markets," Statistics & Probability Letters, Elsevier, vol. 68(1), pages 1-7, June.
    4. Michał Baran, 2007. "Asymptotic pricing in large financial markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(1), pages 1-20, August.
    5. 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.
    6. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012. "Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices," Papers 1205.4790, arXiv.org, revised Jun 2013.
    7. Patrice Gaillardetz & Saeb Hachem, 2019. "Risk-Control Strategies," Papers 1908.02228, arXiv.org.
    8. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
    9. Liao Wang & David D. Yao, 2021. "Risk Hedging for Production Planning," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1825-1837, June.
    10. Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
    11. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
    12. Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 311-332, October.
    13. Daniel Hernández-Hernández & Erick Treviño-Aguilar, 2014. "Characterization of the Value Process in Robust Efficient Hedging," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 56-75, April.
    14. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
    15. Zhenyu Cui & Jun Deng, 2018. "Shortfall risk through Fenchel duality," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-14, June.
    16. F. Godin, 2016. "Minimizing CVaR in global dynamic hedging with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 461-475, March.
    17. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
    18. Micha{l} Barski, 2014. "On the shortfall risk control -- a refinement of the quantile hedging method," Papers 1402.3725, arXiv.org, revised Dec 2015.
    19. Xiaotie Deng & Zhong Li & Shouyang Wang & Hailiang Yang, 2005. "Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions," Annals of Operations Research, Springer, vol. 133(1), pages 265-276, January.
    20. Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1601.03388. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.