Shortfall risk minimising strategies in the binomial model: characterisation and convergence. (English) Zbl 1132.90375
Summary: In this paper we study the dependence on the loss function of the strategy, which minimises the expected shortfall risk when dealing with a financial contingent claim in the particular situation of a binomial model. After having characterised the optimal strategies in the particular cases when the loss function is concave, linear or strictly convex, we analyse how optimal strategies change when we approximate a loss function with a sequence of suitable loss functions.
MSC:
| 90C39 | Dynamic programming |
| 91B30 | Risk theory, insurance (MSC2010) |
References:
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