Dynamic Minimization of Worst Conditional Expectation of Shortfall

DOI10.1111/j.0960-1627.2004.00207.xzbMath1108.91046OpenAlexW3126071912MaRDI QIDQ4673673

Jun Sekine

Publication date: 9 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00207.x

Mathematics Subject Classification ID

Related Items (9)

Dynamic conic hedging for competitiveness ⋮ Risk minimizing portfolios and HJBI equations for stochastic differential games ⋮ Risk measure pricing and hedging in incomplete markets ⋮ VAR-BASED OPTIMAL PARTIAL HEDGING ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process ⋮ Risk Measures and Robust Optimization Problems ⋮ Robustness in the Optimization of Risk Measures

Cites Work

• On the worst conditional expectation.
• Maximizing the probability of a perfect hedge
• Efficient hedging with coherent risk measure
• Minimizing shortfall risk and applications to finance and insurance problems
• Quantile hedging
• On dynamic measure of risk
• A Stochastic Control Approach to Risk Management Under Restricted Information
• Coherent Measures of Risk
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints

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