Dokuchaev, Nikolai G.; Savkin, Andrey V.
Author Affiliation, Ana.
Department of Mathematics and Computer Science
A bounded risk strategy for a market with non-observable parameters
Insurance: Mathematics and economics
Date of Publication
This paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same time a positive average gain for any non-risk-neutral probability measure.....