Cover Image

Computing strategies for achieving acceptability

We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy to achieve acceptability. We also prove optimality of the obtained capital.
Year of publication:
2006-07
Authors: Pal, Soumik
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005084306
Similar items by person