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A stochastic representation theorem with applications to optimization and obstacle problems

Bank, Peter; El Karoui, Nicole - 2001

We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's obstacle problem in the context of backward stochastic differential...

Persistent link: https://www.econbiz.de/10009620781

Adaptive wavelet Galerkin methods for linear inverse problems

Cohen, Albert; Hoffmann, Marc; Reiß, Markus - 2002

We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...

Persistent link: https://www.econbiz.de/10009624840

Asymptotic theory for m-estimators of boundaries

Knight, Keith (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916817

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...

Persistent link: https://www.econbiz.de/10009574876

Efficient hedging : cost versus shortfall risk

Föllmer, Hans; Leukert, Peter - 1999

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...

Persistent link: https://www.econbiz.de/10009579176

Should smart investors buy funds with high returns in the past?

Palomino, Frédéric; Uhlig, Harald - 2002

Newspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize...

Persistent link: https://www.econbiz.de/10009621416

Hedging and portfolio optimization in illiquid financial markets

Bank, Peter; Baum, Dietmar - 2002

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …

Persistent link: https://www.econbiz.de/10009625800

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

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

Estimation and arbitrage opportunities for exchange rate baskets

Mercurio, Danilo; Torricelli, Costanza - 2001

This paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine a self-financed optimal investment strategy which...

Persistent link: https://www.econbiz.de/10009613598

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