Artikel
Lizenziert
Nicht lizenziert
Erfordert eine Authentifizierung
Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
-
Johannes Leitner
Veröffentlicht/Copyright:
25. September 2009
Summary
We study reward over penalty for risk ratios E[u(V)]/E[ρ(V)], V ∈ V, where V ⊆ L1(P) describes a linear space of attainable returns in an arbitrage-free market, u is concave and ρ ≥ 0 is convex. It turns out that maximizing such reward over penalty ratios is essentially equivalent to maximizing the ratio α(V) := E[V]/E[V−] or the expected profit over expected loss ratio E[V+]/E[V−]. The lowest upper bound α– := supV ∈ Vα(V) can be determined by solving an appropriate dual problem over the set of bounded equivalent martingale measures for V. This observation leads to the definition of shortfall risk optimal equivalent martingale measures.
:
Published Online: 2009-09-25
Published in Print: 2005-01-01
© R. Oldenbourg Verlag, München
Sie haben derzeit keinen Zugang zu diesem Inhalt.
Sie haben derzeit keinen Zugang zu diesem Inhalt.
Artikel in diesem Heft
- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- Approximations of empirical probability generating processes
Artikel in diesem Heft
- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- Approximations of empirical probability generating processes
