Balbás, Alejandro and Balbás, Raquel and Garrido, José (2008) Extending Pricing Rules with General Risk Functions. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
- Published Version
The paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function. Convex
Optimization Theory is used in order to extend pricing rules for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. For imperfect markets the extended pricing rules reduce the bid-ask spread. The paper ends by particularizing the findings so as to study with more detail some concrete examples, including the Conditional Value at Risk and some properties of the Standard Deviation.
|Divisions:||Concordia University > Faculty of Arts and Science > Mathematics and Statistics|
|Item Type:||Monograph (Technical Report)|
|Authors:||Balbás, Alejandro and Balbás, Raquel and Garrido, José|
|Series Name:||Department of Mathematics & Statistics. Technical Report No. 4/08|
|Corporate Authors:||Concordia University. Department of Mathematics & Statistics|
|Keywords:||Incomplete and imperfect market, Risk measure and deviation measure, Pricing rule, Convex optimization|
|Deposited By:||DIANE MICHAUD|
|Deposited On:||02 Jun 2010 16:05|
|Last Modified:||08 Dec 2010 23:20|
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