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:swb:ch1-200501316 |
| Date | 07 October 2005 |
| Creators | Rudloff, Birgit |
| Contributors | TU Chemnitz, Fakultät für Mathematik |
| Publisher | Universitätsbibliothek Chemnitz |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | doc-type:lecture |
| Format | application/pdf, text/plain, application/zip |
| Relation | dcterms:isPartOfhttp://nbn-resolving.de/urn:nbn:de:swb:ch1-200501214 |
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