Efficient hedging: cost versus shortfall risk
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Publication:1584192
DOI10.1007/s007800050008zbMath0956.60074OpenAlexW1973946491MaRDI QIDQ1584192
Publication date: 1 November 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/61739
hedgingstochastic volatilityconvex dualityrisk managementshortfall risklower partial momentsefficient hedges
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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