most citedAsymptotics of the probability minimizing a "down-side" risk

33 citations · 60 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2012★ 27 cited

Downside risk minimization via a large deviations approach

Hideo Nagai

We consider minimizing the probability of falling below a target growth rate of the wealth process up to a time horizon in an incomplete market model, and then study the asympt…

math.PR2010★ 33 cited

Asymptotics of the probability minimizing a "down-side" risk

Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu

We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is…