Conditional dominance criteria: Definition and application to risk-management

DOI10.1016/S0167-6687(99)00013-XzbMath1016.91062MaRDI QIDQ1974031

Pierre-François Koehl, Martino Grasselli, Griselda Deelstra

Publication date: 8 May 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

hedgingincomplete marketsstochastic orderingrisk management

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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• Mean-variance hedging in continuous time
• Option hedging for semimartingales
• Mean-variance hedging for general claims
• Price functionals with bid-ask spreads: An axiomatic approach
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Stochastic Dominance and Expected Utility: Survey and Analysis
• European Option Pricing with Transaction Costs
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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