A stochastic control approach to risk management under restricted information

Mathematical Finance

Volumn 10, Issue 2, 2000, Pages 277-288

  Runggaldier, Wolfgang J ^a   Zaccaria, Anna ^b  

^a UNIVERSITY OF PADOVA   (Italy)

^b Principia SGR spa   (Italy)

Author keywords

Dynamic programming; Restricted information; Risk management; Shortfall risk minimization; Transactions costs

Indexed keywords

EID: 0034410743     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00094     Document Type: Article

References (16)

1. BROWNE, S., and W. WHITT (1996): Portfolio Choice and the Bayesian Kelly Criterion, Adv. Appl. Prob. 28, 1145-1176.
2. CVITANIĆ, J. (1998a): Methods of Partial Hedging, Asia-Pacific Financial Markets, to appear.
3. CVITANIĆ, J. (1998b): Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets, preprint, Department of Statistics, Columbia University.
4. CVITANIĆ, J., and I. KARATZAS (1998): On Dynamic Measures of Risk, preprint, Columbia University.
5. EDIRISINGHE, C., V. NAIK, and R. UPPAL (1993): Optimal Replication of Options with Transactions Costs and Trading Restrictions, J. Financial Quant. Anal. 28, 117-138.
6. FÖLLMER, H., and P. LEUKERT (1998): Efficient Hedging: Cost versus Shortfall Risk, preprint, Humboldt-Universität zu Berlin.
7. FÖLLMER, H., and P. LEUKERT (1999): Quantile Hedging, Finance Stoch. 3, 251-273.
8. HINDERER, K. (1979): On Approximate Solutions of Finite-Stage Dynamic Programs; in Dynamic Programming and Its Applications, M. Puterman, ed. New York: Academic Press, 289-317.
9. KARATZAS, I., and X. ZHAO (1999): Bayesian Adaptive Portfolio Optimization, preprint, Columbia University.
10. LAKNER, P. (1995): Utility Maximization with Partial Information, Stoch. Process. Appl. 56, 247-273.
11. LAKNER, P. (1998): Optimal Trading Strategy for an Investor: The Case of Partial Information, Stoch. Process. Appl. 76, 77-97.
12. MARTIN, J. J. (1967): Bayesian Decision Problems and Markov Chains. New York: John Wiley and Sons.
13. P - Hedging in Discrete Time under Cone Constraints, preprint, Université de Marne-la-vallée and CREST.
14. SPIVAK, G., and J. CVITANIĆ (1998): Maximizing the Probability of a Perfect Hedge, preprint, Department of Statistics, Columbia University.
15. VAN HEE, K. M. (1978): Bayesian Control of Markov Chains. Amsterdam: Mathematical Centre Tracts 95.
16. WHITT, W. (71978): Approximations of Dynamic Programs I, Math. Operations Res. 3, 231-243.