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.
Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:17329 |
Date | 07 October 2005 |
Creators | Rudloff, Birgit |
Publisher | Technische Universität Chemnitz |
Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
Language | English |
Detected Language | English |
Type | doc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text |
Rights | info:eu-repo/semantics/openAccess |
Relation | urn:nbn:de:swb:ch1-200501214, qucosa:18370 |
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