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

Description

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.

Links & Downloads

1. urn:nbn:de:swb:ch1-200501316
2. https://monarch.qucosa.de/id/qucosa%3A17329
3. https://monarch.qucosa.de/api/qucosa%3A17329/attachment/ATT-0/
4. https://monarch.qucosa.de/api/qucosa%3A17329/attachment/ATT-1/

Tags

info:eu-repo/classification/ddc/510

ddc:510

Hedging

Risikomaß

Neyman-Pearson lemma

coherent risk measure

convex duality

hypothesis testing

risk measures

shortfall risk

Additional Fields

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