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1	A generalized Neyman-Pearson lemma for hedge problems in incomplete markets Rudloff, Birgit 07 October 2005 (has links) (PDF) Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to problems belonging to test theory. This paper considers a generalization of the Neyman-Pearson lemma. With methods of convex duality we deduce the structure of an optimal randomized test when testing a compound hypothesis against a simple alternative. We give necessary and sufficient optimality conditions for the problem. Neyman-Pearson lemma coherent risk measure convex duality hypothesis testing risk measures shortfall risk ddc:510 Hedging Risikomaß
2	Essays in mathematical finance Murgoci, Agatha January 2009 (has links) Diss. Stockholm : Handelshögskolan, 2009 Incomplete markets Good deal bounds Vulnerable options Counterparty risk Coherent risk measure Over-the-counter derivatives market Time-inconsistency Stochastic optimal control Mean variance allocation Economics Nationalekonomi
3	A generalized Neyman-Pearson lemma for hedge problems in incomplete markets Rudloff, Birgit 07 October 2005 (has links) Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to problems belonging to test theory. This paper considers a generalization of the Neyman-Pearson lemma. With methods of convex duality we deduce the structure of an optimal randomized test when testing a compound hypothesis against a simple alternative. We give necessary and sufficient optimality conditions for the problem. info:eu-repo/classification/ddc/510 ddc:510 Hedging Risikomaß Neyman-Pearson lemma coherent risk measure convex duality hypothesis testing risk measures shortfall risk

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