Risk Minimization Control for Beating the Market Strategies
نویسنده
چکیده
We examine the situation when the investor wants to outperform a certain benchmark by actively trading in this asset, typically a stock index. We consider an investor who wants to minimize the expected shortfall in the case he fails to achieve this goal. Using recently developed techniques of Föllmer and Leukert, we can relate this optimal investment problem to option hedging. This allows us to obtain analytical characterizations of the optimal strategy in special cases.
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