In this paper, we consider an incomplete market framework and explain how to usejointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of momentrestrictions, which can be written...

We introduce nonparametric estimators of the sensitivity of distortion risk measure with re-spect to portfolio allocation. These estimators are used to derive the estimated e±cient portfolioallocations when distortion risk measures de¯ne the constraints and the objectives, to study...