Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints |
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| Authors: | Yumiharu Nakano |
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| Institution: | Department of Mathematics , Faculty of Science, Hokkaido University , Sapporo 060‐0810, Japan E-mail: nakano_y@math.sci.hokudai.ac.jp |
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| Abstract: | The paper studies the problem of minimizing coherent risk measures of shortfall for general discrete‐time financial models with cone‐constrained trading strategies, as developed by Pham and Touzi. It is shown that the optimal strategy is obtained by super‐hedging a contingent claim, which is represented as a Neyman–Pearson‐type random variable. |
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| Keywords: | coherent risk measure shortfall risk constrained strategy super‐hedging convex duality |
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