کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156553 | 958841 | 2007 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Computing strategies for achieving acceptability: A Monte Carlo approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We consider a trader who wants to direct his or her portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a Monte Carlo algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy for achieving acceptability. We also prove optimality of the capital obtained. Explicit theoretical evaluations of hedging strategies are extremely difficult, and we avoid the problem by resorting to such computational methods. The main idea is to utilize the finite Vapnik–C˘ervonenkis dimension of a class of possible strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 117, Issue 11, November 2007, Pages 1587–1605
Journal: Stochastic Processes and their Applications - Volume 117, Issue 11, November 2007, Pages 1587–1605
نویسندگان
Soumik Pal,