<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Ghossoub, M.</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">A Neyman-Pearson Problem with Ambiguity and Nonlinear Pricing</style></title><secondary-title><style face="normal" font="default" size="100%">Mathematics and Financial Economics</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2018</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://link.springer.com/article/10.1007%2Fs11579-017-0207-y</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">12</style></volume><pages><style face="normal" font="default" size="100%">365-385</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;
	We consider a problem of the Neyman-Pearson type arising in the theory of portfolio&amp;nbsp;choice in the presence of probability weighting, such as in markets with Choquet&amp;nbsp;pricing (as in Araujo et al (2011), Cerreia-Vioglio et al (2015), Chateauneuf and Cornet&amp;nbsp;(2015), or Chateauneuf et al (1996)) and ambiguous beliefs about the payoffs of&amp;nbsp;contingent claims. Specifically, we consider a problem of optimal choice of a contingent&amp;nbsp;claim so as to minimize a non-linear pricing functional (or a distortion risk measure),&amp;nbsp;subject to a minimum expected performance measure (or a minimum expected return&amp;nbsp;or utility), where expectations with respect to distorted probabilities are taken in the&amp;nbsp;sense of Choquet. Such contingent claims are called cost-efficient. We give an&amp;nbsp;analytical characterization of cost-efficient contingent claims under very mild&amp;nbsp;assumptions on the probability weighting functions, thereby extending some of the&amp;nbsp;results of Ghossoub (2016), and we provide examples of some special cases of&amp;nbsp;interest. In particular, we show how a cost-efficient contingent claim exhibits a&amp;nbsp;desirable monotonicity property: It is anti-comonotonic with the random mark-to-market&amp;nbsp;value (or return, etc.) of the underlying financial position, and it is hence a hedge&amp;nbsp;against such variability.
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</style></abstract><issue><style face="normal" font="default" size="100%">3</style></issue></record></records></xml>