- Tytuł:
-
Optymalny zrandomizowany test na skończonym rynku zupełnym
Optimal Randomized Test in the Finite Complete Market - Autorzy:
- Utkin, Joanna
- Powiązania:
- https://bibliotekanauki.pl/articles/588323.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Optymalizacja matematyczna
Programowanie matematyczne
Rynek kapitałowy
Capital market
Mathematical optimization
Mathematical programming - Opis:
- We deal with the finite complete arbitrage free financial market model. There are given a liability ( as selling an european option) and an initial amount lower than the initial value of the liability. The quantile hedging is based upon the generalized Neyman- Pearson lemma, but this approach don't give all information on the optimal solution in the considered case. In the present paper the optimal randomized test is analysed with some methods of the mathematical programming. It is showed that the minimal generalized density of probabilities equals the needed lower quantil. Moreover we construct the optimal solutions set. It is the basis to formulate the sufficient condition of the classical quantile hedging.
- Źródło:
-
Studia Ekonomiczne; 2013, 154; 113-123
2083-8611 - Pojawia się w:
- Studia Ekonomiczne
- Dostawca treści:
- Biblioteka Nauki