- PII
- S042473880000616-6-1
- DOI
- 10.7868/S0000616-6-1
- Publication type
- Article
- Status
- Published
- Authors
- Volume/ Edition
- Volume / Issue №1
- Pages
- 68-75
- Abstract
- We consider a multi-criteria problem that arises in the sale of an asset under insurance (hedging) through future income options. For a wide class of functions describing the dependence of the option price on the strike price, an effective procedure for constructing a Pareto set for three criteria related to risk assessment using the VaR method is proposed. We analyze the features of this set and give a graphical representation of its projection on one of the coordinate planes.
- Keywords
- Date of publication
- 01.01.2007
- Year of publication
- 2007
- Number of purchasers
- 0
- Views
- 835
RAS Social ScienceЭкономика и математические методы Economics and the Mathematical Methods
- ISSN (Print) 0424-7388
- ISSN (Online) 3034-6177
THE CONSTRUCTION OF THE PARETO SET IN THIS MODEL, THE HEDGING ASSET OPTIONS
Indexing
Scopus
Crossref
Higher Attestation Commission
At the Ministry of Education and Science of the Russian Federation
Scientific Electronic Library