Abstract. We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the mo...
We prove a general version of the super-replication theorem, which applies to Kabanov's model of foreign exchange markets under proportional transaction costs. The market is ...
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
We consider the Merton problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within an infinite-factor Markovian Heath-Jarrow-Mo...