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A generalized Neyman-Pearson lemma for hedge problems in incomplete markets

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.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa.de:swb:ch1-200501316
Date07 October 2005
CreatorsRudloff, Birgit
ContributorsTU Chemnitz, Fakultät für Mathematik
PublisherUniversitätsbibliothek Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:lecture
Formatapplication/pdf, text/plain, application/zip
Relationdcterms:isPartOfhttp://nbn-resolving.de/urn:nbn:de:swb:ch1-200501214

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