Large losses - probability minimizing approach
Mathematical Finance
2016-01-14 v1 Optimization and Control
Abstract
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
Keywords
Cite
@article{arxiv.1601.03388,
title = {Large losses - probability minimizing approach},
author = {Michał Barski},
journal= {arXiv preprint arXiv:1601.03388},
year = {2016}
}
Comments
13 pages