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Large losses-probability minimizing approach

100%

Baran M.

Applicationes Mathematicae

2004

tom 31

nr 3

243-257

The probability minimizing problem for large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].

Quantile hedging on markets with proportional transaction costs

100%

Baran M.

Applicationes Mathematicae

2003

tom 30

nr 2

193-208

The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].

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2 Applicationes Mathematicae

2 Baran M.

1 2004

1 2003

Wyniki wyszukiwania

Large losses-probability minimizing approach

Quantile hedging on markets with proportional transaction costs