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Explicit solutions for shortfall risk minimization in multinomial models

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Authors and Affiliations

  1. Engineering S.p.A.¶e-mail: scagnellato@eng.it, , , , , , IT

    Caterina Scagnellato

  2. Department of Pure and Applied Mathematics, University of Padova¶e-mail: vargiolu@math.unipd.it, , , , , , IT

    Tiziano Vargiolu

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  1. Caterina Scagnellato
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  2. Tiziano Vargiolu
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Received: 4 April 2001 / Accepted: 14 February 2002

Both the authors gratefully acknowledge financial support from the CNR Strategic Project Modellizzazione matematica di fenomeni economici. The second author also acknowledges financial support from the Research Training Network DYNSTOCH, under the programme Improving Human Potential financed by The Fifth Framework Programme of the European Commission.

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Scagnellato, C., Vargiolu, T. Explicit solutions for shortfall risk minimization in multinomial models. DEF 25, 145–155 (2002). https://doi.org/10.1007/s102030200009

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