Computing strategies for achieving acceptability
Probability
2008-12-10 v1 Optimization and Control
Portfolio Management
Abstract
We 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.
Keywords
Cite
@article{arxiv.math/0607617,
title = {Computing strategies for achieving acceptability},
author = {Soumik Pal},
journal= {arXiv preprint arXiv:math/0607617},
year = {2008}
}
Comments
17 pages