The Pure and Applied Mathematics (한국수학교육학회지시리즈B:순수및응용수학)

Korean Society of Mathematical Education (한국수학교육학회)
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SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH

  • Kim, Ju-Hong (Department of Mathematics, Sungshin Women's University)
  • Received : 2012.04.05
  • Accepted : 2012.05.15
  • Published : 2012.05.31
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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

References

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