BFS 2002 

Contributed Talk 
Michael Kirch
We consider an investor who has sold a contingent claim and intends to minimize the maximal expected weighted shortfall. Here, the maximum is taken over a family of models. We call the associated minimizing strategy robustefficient. The problem to determine a robustefficient strategy is closely related to the
statistical problem of testing a composite hypothesis against a composite alternative. The solution to this statistical testing problem is provided on a general level by means of a
leastfavorable pair. We apply these results to derive the robustefficient strategy for a class of Binomialmodels with uncertain transition probabilities and for a class of generalized
BlackScholes models where volatility is subject to a random jump with uncertain mean and variance.
http://www.fam.tuwien.ac.at/~kirch/pubs/