Dynamic L-p-hedging in discrete time under cone constraints

Authors
Pham, H
Citation
H. Pham, Dynamic L-p-hedging in discrete time under cone constraints, SIAM J CON, 38(3), 2000, pp. 665-682
Citations number
38
Categorie Soggetti
Mathematics,"Engineering Mathematics
Journal title
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN journal
03630129 → ACNP
Volume
38
Issue
3
Year of publication
2000
Pages
665 - 682
Database
ISI
SICI code
0363-0129(20000316)38:3<665:DLIDTU>2.0.ZU;2-R
Abstract
We consider a general discrete time process of a financial market with cone constraints on trading strategies. In this framework, we study the problem of minimizing the expected l(p)-loss function of the shortfall of a given contingent claim in L-p. This stochastic control problem is solved by using results on superhedging and a convex duality approach.