Hedging of options with the help of conditional expected loss criterion (Q2377522)

The paper deals with the optimal hedging in the continuous time of a contingent claim (option) \(H\) on a complete market when the initial capital is smaller then the price of \(H\). The author discussed the problem of constructing the hedging strategy which minimizes the Conditional Value-at-Risk (CVaR) of the difference \(H-V_T\), where \(V_T\) is the final pay-off of the strategy capital process.