On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals
| dc.creator | Schied, Alexander | |
| dc.date | 2004-07-08 | |
| dc.date.accessioned | 2026-07-07T12:11:10Z | |
| dc.date.available | 2026-07-07T12:11:10Z | |
| dc.description | Motivated by optimal investment problems in mathematical finance, we consider a variational problem of Neyman-Pearson type for law-invariant robust utility functionals and convex risk measures. Explicit solutions are found for quantile-based coherent risk measures and related utility functionals. Typically, these solutions exhibit a critical phenomenon: If the capital constraint is below some critical value, then the solution will coincide with a classical solution; above this critical value, the solution is a superposition of a classical solution and a less risky or even risk-free investment. For general risk measures and utility functionals, it is shown that there exists a solution that can be written as a deterministic increasing function of the price density. | |
| dc.identifier | https://arxiv.org/abs/math/0407127 | |
| dc.identifier | http://arxiv.org/abs/math/0407127 | |
| dc.identifier | Annals of Probability 2004, Vol. 14, No. 3, 1398-1423 | |
| dc.identifier | doi:10.1214/105051604000000341 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210140 | |
| dc.subject | Probability | |
| dc.subject | Risk Management | |
| dc.subject | 91B28, 91B30, 62G10 (Primary) | |
| dc.title | On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals | |
| dc.type | text |