A generalized Neyman-Pearson lemma for hedge problems in incomplete markets
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to problems belonging to test theory. This paper considers a generalization of the Neyman-Pearson lemma. With methods of convex duality we deduce the structure of an optimal randomized test when testing...
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| Format: | Others |
| Language: | English |
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Universitätsbibliothek Chemnitz
2005
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| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501316 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501316 http://www.qucosa.de/fileadmin/data/qucosa/documents/5053/data/t_04_ru.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/5053/20050131.txt |