In this paper we consider models of financial markets in discrete and continuous time case, and we show how we can obtain the weak convergence of various results about shortfall risk minimization obtained so far in discrete time to similar ones in continuous time.
Weak convergence of shortfall risk minimizing portfolios
VARGIOLU, TIZIANO
2006
Abstract
In this paper we consider models of financial markets in discrete and continuous time case, and we show how we can obtain the weak convergence of various results about shortfall risk minimization obtained so far in discrete time to similar ones in continuous time.File in questo prodotto:
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