Good deal bounds induced by shortfall risk

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11 Citations (Scopus)


We consider, throughout this paper, an incomplete financial market which is governed by a possibly nonlocally bounded right-continuous with left-limits (RCLL) special semimartingale. We shall provide good deal bounds for contingent claims induced by shortfall risk in the framework of the Orlicz heart setting. We prove that the upper and lower bounds of such a good deal bound are expressed by a convex risk measure on an Orlicz heart. In addition, we obtain representation results for three types of model, which are an unconstrained portfolio model, a W-admissible model, and a predictably convex model.

Original languageEnglish
Pages (from-to)1-21
Number of pages21
JournalSIAM Journal on Financial Mathematics
Issue number1
Publication statusPublished - 2011


  • Convex risk measure
  • Good deal bound
  • Orlicz space
  • Predictably convex
  • Shortfall

ASJC Scopus subject areas

  • Numerical Analysis
  • Finance
  • Applied Mathematics


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