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Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

Persistent link: https://www.econbiz.de/10009576212

Teaching statistics with XploRe

Müller, Marlene - 1998

Persistent link: https://www.econbiz.de/10009578584

The costs of not knowing the radius

Rieder, Helmut; Kohl, Matthias; Ruckdeschel, Peter - 2001

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for the false radius is used. This is done by numerical solution of the implicit equations which determine optimal robustness, for location, scale, and linear regression models,...

Persistent link: https://www.econbiz.de/10009616786

Credit risk modeling and valuation : an introduction

Giesecke, Kay - 2002

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...

Persistent link: https://www.econbiz.de/10009625799

Comparison of model reduction methods for VAR processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

Persistent link: https://www.econbiz.de/10009627281

Convex measures of risk and trading constraints

Föllmer, Hans; Schied, Alexander - 2001

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...

Persistent link: https://www.econbiz.de/10009615426

A procedural and object-oriented statistical language

Kobayashi, Ikunori; Fujiwara, Takeshi; Nakano, Junji; … - 2001

A language of a statistical system is important, even though it bas an effective graphical user interface. A language may be used to control the statistical system at will and to implement new statistical procedures which are not realized in the system at the beginning. This paper introduces the...

Persistent link: https://www.econbiz.de/10009615429

Hazard regression

Grund, Birgit; Yang, Lijian - 1999

Persistent link: https://www.econbiz.de/10009581089

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Computational resources for extremes

Kleinow, Torsten; Thomas, Michael - 1999

The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a...

Persistent link: https://www.econbiz.de/10009582413