• Media type: Lecture
  • Title: A generalized Neyman-Pearson lemma for hedge problems in incomplete markets
  • Contributor: Rudloff, Birgit [Author]
  • imprint: Chemnitz: Technische Universität Chemnitz, [2005]
  • Published in: Tagungsband zum Workshop "Stochastische Analysis", 27.09.2004 - 29.09.2004
  • Language: English
  • Keywords: Hedging ; Risikomaß ; convex duality ; shortfall risk ; Neyman-Pearson lemma ; hypothesis testing ; coherent risk measure ; risk measures
  • Origination:
  • Footnote:
  • Description: Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to problems belonging to test theory. This paper considersa generalization of the Neyman-Pearson lemma. With methods of convex dualitywe deduce the structure of an optimal randomized test when testing a compoundhypothesis against a simple alternative. We give necessary and sufficient optimalityconditions for the problem.