Computing strategies for achieving acceptability

Simple item page
dc.creatorPal, Soumik
dc.date2006-07-25
dc.date.accessioned2026-07-07T12:11:18Z
dc.date.available2026-07-07T12:11:18Z
dc.descriptionWe consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy to achieve acceptability. We also prove optimality of the obtained capital.
dc.description17 pages
dc.identifierhttps://arxiv.org/abs/math/0607617
dc.identifierhttp://arxiv.org/abs/math/0607617
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210178
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.subject60G99; 91B28; 91B30
dc.titleComputing strategies for achieving acceptability
dc.typetext

Files

Collections

arXiv