• Medientyp: Konferenzbeitrag
  • Titel: A generalized Neyman-Pearson lemma for hedge problems in incomplete markets
  • Beteiligte: Rudloff, Birgit [VerfasserIn]
  • Erschienen: Chemnitz: Technische Universität Chemnitz, [2005]
  • Erschienen in: Tagungsband zum Workshop "Stochastische Analysis", 27.09.2004 - 29.09.2004
  • Sprache: Englisch
  • Schlagwörter: hypothesis testing ; Neyman-Pearson lemma ; shortfall risk ; risk measures ; Hedging ; coherent risk measure ; Risikomaß ; convex duality
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  • Beschreibung: 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.