Neyman-Pearson Hedging and Dynamic Measures of Risk

Kurzanzeige
dc.contributor.authorKohlmann, Michael
dc.date.accessioned2011-03-22T17:45:32Zdeu
dc.date.available2011-03-22T17:45:32Zdeu
dc.date.issued2000deu
dc.description.abstractIn both complete and incomplete markets we consider the problem of fulfilling
a financial obligation x as well as possible at time T if the initial capital is not
sufficient to hedge x. This introduces a new risk into the market and our main
aim is to minimize this shortfall risk by making use of results from bsde theory.		eng
dc.description.versionpublished
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dc.identifier.ppn08885079Xdeu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/696
dc.language.isoengdeu
dc.legacy.dateIssued2000deu
dc.relation.ispartofseriesCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectcapital requirementdeu
dc.subjecthedgingdeu
dc.subjectNeyman-Pearson hedgingdeu
dc.subjectdynamic measures of riskdeu
dc.subjectmean variance hedgingdeu
dc.subject.ddc510deu
dc.titleNeyman-Pearson Hedging and Dynamic Measures of Riskeng
dc.typeWORKINGPAPERdeu
dspace.entity.typePublication
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kops.citation.bibtex
@techreport{Kohlmann2000Neyma-696,
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  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Neyman-Pearson Hedging and Dynamic Measures of Risk},
  number={2000/11},
  author={Kohlmann, Michael}
}
kops.citation.iso690KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Riskdeu
kops.citation.iso690KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Riskeng
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