Researchain
Decentralized Journals
A
Archives
Welcome to Researchain!
Feedback Center
Decentralized Journals
A
Archives
Updated
Quantitative Finance
Mathematical Finance
Large losses - probability minimizing approach
Michał Barski
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].
Full PDF
Related Researches
Bertram's Pairs Trading Strategy with Bounded Risk
by
Vladimír Holý
Optimal Investment and Consumption under a Habit-Formation Constraint
by
Bahman Angoshtari
When to Quit Gambling, if You Must!
by
Sang Hu
Clearing prices under margin calls and the short squeeze
by
Zachary Feinstein
Super-replication with transaction costs under model uncertainty for continuous processes
by
Huy N. Chau
Artificial intelligence applied to bailout decisions in financial systemic risk management
by
Daniele Petrone
A conditional version of the second fundamental theorem of asset pricing in discrete time
by
Lars Niemann
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
by
Tim Leung
Equilibrium Price Formation with a Major Player and its Mean Field Limit
by
Masaaki Fujii
The relations of Choquet Integral and G-Expectation
by
Ju Hong Kim
The Golden Age of the Mathematical Finance
by
José Manuel Corcuera
Group Quantization of Quadratic Hamiltonians in Finance
by
Santiago Garcia
Deep Reinforcement Learning with Function Properties in Mean Reversion Strategies
by
Sophia Gu
Valuation of electricity storage contracts using the COS method
by
Boris C. Boonstra
On regularized optimal execution problems and their singular limits
by
Max O. Souza
A Model of Market Making and Price Impact
by
Angad Singh
Model-free price bounds under dynamic option trading
by
Ariel Neufeld
Governmental incentives for green bonds investment
by
Bastien Baldacci
Optimal investment in illiquid market with search frictions and transaction costs
by
Jin Hyuk Choi
Optimal Trading with Signals and Stochastic Price Impact
by
Jean-Pierre Fouque
Capital growth and survival strategies in a market with endogenous prices
by
Mikhail Zhitlukhin
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
by
Xianfei Hui
Beating the Market with Generalized Generating Portfolios
by
Patrick Mijatovic
Optimal reinsurance problem under fixed cost and exponential preferences
by
Matteo Brachetta
Wild Randomness, and the application of Hyperbolic Diffusion in Financial Modelling
by
Will Hicks
«
1
2
3
4
»
Submitted on 13 Jan 2016
Updated
arXiv.org
Original Source
NASA ADS
Google Scholar
Semantic Scholar