Coherent hedging in incomplete markets

DOI10.1080/14697680802169787zbMath1158.91388OpenAlexW2032466002MaRDI QIDQ3623410

Birgit Rudloff

Publication date: 20 April 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802169787

zbMATH Keywords

hedgingcoherent risk measuresconvex dualitygeneralized Neyman-Pearson lemmashortfall risk

Mathematics Subject Classification ID

Related Items (9)

A dual representation of gain–loss hedging for European claims in discrete time ⋮ Inverse portfolio problem with coherent risk measures ⋮ Unnamed Item ⋮ Convex hedging of non-superreplicable claims in discrete-time market models ⋮ Buyer's quantile hedge portfolios in discrete-time trading ⋮ Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Convex Hedging in Incomplete Markets ⋮ Testing hypotheses for measures with different masses: Four optimization problems

Cites Work

• Barrelledness in topological and ordered vector spaces
• Efficient hedging: cost versus shortfall risk
• Efficient hedging with coherent risk measure
• Quantile hedging
• Variational methods in convex analysis
• Coherent Measures of Risk
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Optimization of Convex Risk Functions
• Generalized Neyman-Pearson lemma via convex duality.

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