HIGHLIGHTS
- who: Y. Dolinsky from the Hebrew University, Jerusalem have published the Article: On shortfall risk minimization for game options, in the Journal: (JOURNAL)
- what: The authors provide the second result of the paper (Theorem 2). Formally, the authors show that the inf in_(2) which ruins the convexity leads to non existence of optimal hedging strategies.
SUMMARY
The authors consider the shortfall risk measure which is given by_(see ) R(π, σ ):=sup EP H (σ, τ ) - Vσπ∧τ τ where {Vtπ }Tt=0 is the wealth process of the portfolio strategy π and EP denotes the expectation . . .
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