Shortfall risk minimization versus symmetric (quadratic) hedging

DOI10.1007/s10203-005-0051-zzbMath1124.91334OpenAlexW1997196486MaRDI QIDQ816438

Gino Favero

Publication date: 9 March 2006

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-005-0051-z

zbMATH Keywords

contingent claimself-financing strategy

Mathematics Subject Classification ID

Related Items (1)

Replication and shortfall risk in a binomial model with transaction costs

Cites Work

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• Efficient hedging: cost versus shortfall risk
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• On dynamic measure of risk
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Local Expected Shortfall-Hedging in Discrete Time *
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints

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