Publication:
Extending pricing rules with general risk

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBalbás, Raquel
dc.contributor.authorGarrido, José
dc.date.accessioned2014-01-15T17:25:17Z
dc.date.available2014-01-15T17:25:17Z
dc.date.issued2008-04
dc.description.abstractThe paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function. Convex Optimization Theory is used in order to extend pricing rules for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. For imperfect markets the extended pricing rules reduce the bid-ask spread. The paper ends by particularizing the findings so as to study with more detail some concrete examples, including the Conditional Value at Risk and some properties of the Standard Deviationen
dc.description.sponsorshipResearch partially supported by “Welzia Management SGIIC SA”, “RD_Sistemas SA”, “Comunidad Autónoma de Madrid” (Spain), Grant s−0505/tic/000230, “MEy- C” (Spain), Grant SEJ2006−15401−C04 and “NSERC” (Canada), Grant 36860− 06en
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/18138
dc.identifier.uxxiDT/0000001135
dc.language.isoeng
dc.publisherDepartment of Mathematics and Statistics, Concordia Universityen
dc.relation.hasversionhttp://hdl.handle.net/10016/12956
dc.relation.ispartofseriesTechnical Reporten
dc.relation.ispartofseriesNo. 4/08
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEmpresaes
dc.subject.jelG13
dc.subject.jelG11
dc.subject.otherIncomplete and imperfect market, Risk measure and deviation measure,es
dc.subject.otherPricing rule, Convex optimizationes
dc.subject.otherRisk measure and deviation measureen
dc.subject.otherConvex optimizationen
dc.titleExtending pricing rules with general risken
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
extending_balbas_2008.pdf
Size:
273.64 KB
Format:
Adobe Portable Document Format
Download
Collections
DEE - Otros documentos