Optymalny zrandomizowany test na skończonym rynku zupełnym

• Authors: Joanna Utkin

Title variants

EN

Optimal Randomized Test in the Finite Complete Market

• Languages of publication: PL

Abstracts

EN

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.

Keywords

PL

Optymalizacja matematyczna; Programowanie matematyczne; Rynek kapitałowy

EN

Capital market; Mathematical optimization; Mathematical programming

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 154
• Pages: 113-123

Contributors

author

Joanna Utkin

References

• Follmer H., Leukert P., Quantile hedging. "Finance Stochastics" 1999, No. 3.
• Follmer H., Schied A., Stochastic finance, de Gruyter, Berlin 2004.
• Zangwill W., Programowanie nieliniowe, WNT, Warszawa 1974.

Identifiers

ISSN

2083-8611