scientific article; zbMATH DE number 7815799

DOI10.22405/2226-8383-2023-24-3-26-41MaRDI QIDQ6192862

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Publication date: 12 March 2024

Full work available at URL: http://mathnet.ru/eng/cheb1323

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

convex dualitypartial hedgingreal-valued convex risk measuresrobust loss functionals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Duality in a Problem of Static Partial Hedging under Convex Constraints
• Coherent hedging in incomplete markets
• Variational Analysis
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Convex Hedging in Incomplete Markets

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