Extending pricing rules with general risk

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dc.contributor.author Balbás, Alejandro
dc.contributor.author Balbás, Raquel
dc.contributor.author Garrido, José
dc.date.accessioned 2014-01-15T17:25:17Z
dc.date.available 2014-01-15T17:25:17Z
dc.date.issued 2008-04
dc.identifier.uri http://hdl.handle.net/10016/18138
dc.description.abstract The 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 Deviation
dc.description.sponsorship Research 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− 06
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Department of Mathematics and Statistics, Concordia University
dc.relation.ispartofseries Technical Report
dc.relation.ispartofseries No. 4/08
dc.relation.hasversion http://hdl.handle.net/10016/12956
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Incomplete and imperfect market, Risk measure and deviation measure,
dc.subject.other Pricing rule, Convex optimization
dc.subject.other Risk measure and deviation measure
dc.subject.other Convex optimization
dc.title Extending pricing rules with general risk
dc.type workingPaper
dc.subject.jel G13
dc.subject.jel G11
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.type.version submittedVersion
dc.identifier.uxxi DT/0000001135
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