Shortfall risk minimization in a discrete regime switching model

There have been profound ideas on how to measure risk which have influenced the financial market. Shortfall risk minimization is one of the methods which has attracted considerable attention. This problem has been studied for the binomial model in Runggaldier and Zaccaria (2000) and Runggaldier, Tri...

Full description

Saved in:
Bibliographic details
Volume: 30
Main Author: Awanou, Gerard
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Berlin/Heidelberg Springer-Verlag 01.05.2007
Springer
published in: Decisions in economics and finance Vol. 30; no. 1; pp. 71 - 78
Data of publication: 20070500
ISSN: 1593-8883
1129-6569
EISSN: 1129-6569
Discipline: Economics
Social Sciences (General)
Series: Decisions in Economics and Finance
Subjects:
Online Access: Fulltext
Database: RePEc IDEAS
RePEc
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS