Large losses-probability minimizing approach
Michał Baran
Applicationes Mathematicae, Tome 31 (2004), p. 243-257 / Harvested from The Polish Digital Mathematics Library
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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].

Publié le : 2004-01-01
EUDML-ID : urn:eudml:doc:279362 
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     title = {Large losses-probability minimizing approach},
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     volume = {31},
     year = {2004},
     pages = {243-257},
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     language = {en},
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Michał Baran. Large losses-probability minimizing approach. Applicationes Mathematicae, Tome 31 (2004) pp. 243-257. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am31-3-1/