The minimal risk of hedging with a convex risk measure

DOI10.1007/4-431-34342-3_7zbMath1187.91112OpenAlexW2188043529MaRDI QIDQ3564008

Yuji Umezawa

Publication date: 2 June 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/4-431-34342-3_7

zbMATH Keywords

hedgingrisk measure

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Derivative securities (option pricing, hedging, etc.) (91G20)

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