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dc.contributor.authorLépinette, Emmanuel
dc.date.accessioned2018-09-05T14:51:30Z
dc.date.available2018-09-05T14:51:30Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17963
dc.language.isoenen
dc.subjectRandom preference relationsen
dc.subjectRandom setsen
dc.subjectSuper hedgingen
dc.subjectTransaction costsen
dc.subject.ddc519en
dc.titleRandom optimization on random setsen
dc.typeDocument de travail / Working paper
dc.description.abstractenRandom sets and random preorders naturally appear in financial market modelling with transaction costs. In this paper , we introduce and study a concept of essential minimum of a family of vector-valued random variables, i.e. the set of all minimal elements with respect to some random preorder. We provide some conditions under which the essential minimum is not empty and we present two applications in optimisation to Mathematical Finance and Economics.en
dc.identifier.citationpages14en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01779181en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-05T14:50:17Z
hal.person.labIds60


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