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Optimization of Risk Measures
Ruszczynski, Andrzej; Shapiro, Alexander - EconWPA - 2004
We consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of … measures, and we formulate multistage optimization problems involving these measures. Conditions similar to dynamic programming …
Persistent link: https://www.econbiz.de/10005561059
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A Toolkit for Optimizing Functions in Economics
Goffe, William L. - EconWPA - 1997
Optimization algorithms must be among the most common numerical methods used by economists. Yet, there is surprisingly …
Persistent link: https://www.econbiz.de/10005134567
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Utility based pricing of contingent claims
Gamba, A.; Pellizzari, P. - EconWPA - 1999
In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been issued: a strategy implemented by investing the...
Persistent link: https://www.econbiz.de/10005413221