Convex Hedging in Incomplete Markets

DOI10.1080/13504860701352206zbMath1151.91537arXiv1604.08070OpenAlexW2084005227MaRDI QIDQ5440091

Birgit Rudloff

Publication date: 31 January 2008

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

Full work available at URL: https://arxiv.org/abs/1604.08070

zbMATH Keywords

hedgingconvex dualityconvex risk measuresshortfall riskgeneralized Neyman-Pearson Lemma

Mathematics Subject Classification ID

Dynamic programming (90C39) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

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• The mathematics of arbitrage
• Coherent Measures of Risk
• Coherent hedging in incomplete markets
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Functional Analysis
• Optimization of Convex Risk Functions

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