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q-fin.MF2016
Large losses - probability minimizing approach
Michał Barski
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
q-fin.MF2016
Quantile hedging on markets with proportional transaction costs
Michał Barski
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a…