Local Expected Shortfall-Hedging in Discrete Time *

DOI10.1023/A:1022506825795zbMath1032.91069OpenAlexW1997177995MaRDI QIDQ4707095

Siegfried Trautmann, Marco Schulmerich

Publication date: 9 June 2003

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022506825795

zbMATH Keywords

hedgingcoherent risk measuresexpected shortfallsuperhedgingself-financing strategiesmyopic hedging strategies

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (9)

Shortfall risk minimising strategies in the binomial model: characterisation and convergence ⋮ Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach ⋮ The efficient hedging problem for American options ⋮ MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT ⋮ On the non-existence of conditional value-at-risk under heavy tails and short sales ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ On risk management problems related to a coherence property ⋮ Dynamic Programming and Hedging Strategies in Discrete Time ⋮ Shortfall risk minimization versus symmetric (quadratic) hedging

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