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http://dx.doi.org/10.7468/jksmeb.2014.21.4.307

THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS  

Kim, Ju Hong (Department of Mathematics, Sungshin Women's University)
Publication Information
The Pure and Applied Mathematics / v.21, no.4, 2014 , pp. 307-316 More about this Journal
Abstract
We prove the existence of the risk-efficient options proposed by Xu [7]. The proof is given by both indirect and direct ways. Schied [6] showed the existence of the optimal solution of equation (2.1). The one is to use the Schied's result. The other one is to find the sequences converging to the risk-efficient option.
Keywords
risk-efficient options; incomplete market; risk measures; optimal solution;
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