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  • 한국과학기술정보연구원(KISTI) 서울분원 대회의실(별관 3층)
  • 2024년 07월 03일(수) 13:30
 

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  • P-ISSN1226-0657
  • E-ISSN2287-6081
  • KCI

SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH

SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH

한국수학교육학회지시리즈B:순수및응용수학 / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2012, v.19 no.2, pp.179-192
https://doi.org/10.7468/jksmeb.2012.19.2.179
Kim, Ju-Hong (Department of Mathematics, Sungshin Women's University)

Abstract

We find the solution minimizing the shortfall risk by using the Lagrange-multiplier method. The conventional duality method in the expected utility maximization problem is used and we get the same results as in the paper [21].

keywords
shortfall risk, duality theory, incomplete markets, Fenchel-Legendre transform

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한국수학교육학회지시리즈B:순수및응용수학