{"entities":{"Q1827093":{"pageid":1837835,"ns":120,"title":"Item:Q1827093","lastrevid":48305533,"modified":"2026-01-04T07:41:26Z","type":"item","id":"Q1827093","labels":{"en":{"language":"en","value":"Efficient hedging with coherent risk measure"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2082148"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$AE7D3F8D-E6BB-4202-B24A-C869CA92B452","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"6ba49a0def21dd09f0c10353115f56fd8cfb83ed","datavalue":{"value":{"text":"Efficient hedging with coherent risk measure","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1827093$9ABE0BC2-059D-4373-83BE-768026113D03","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"930c8ff1d873a0d6fad5d4a1a4a60aeed51a38c1","datavalue":{"value":"1085.91032","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$4EC2F52D-3EBC-4030-8555-276EC0321A4E","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"03f0587396f3743ff56cdeeaf99c9190faabed76","datavalue":{"value":{"entity-type":"item","numeric-id":254586,"id":"Q254586"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$AC0853F8-E158-48EB-B9CA-A74387A06BAC","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"c5ad7b9baf8e531c6b1ad954eb5f2899cc8fe5e5","datavalue":{"value":{"entity-type":"item","numeric-id":85344,"id":"Q85344"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$B338FCB0-CEA3-4773-AC00-31AE24E49286","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"fdf3003d3f6dc4bd36d0ddd91ae69d1d9d4864ff","datavalue":{"value":{"time":"+2004-08-06T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1827093$94702F99-ABC8-4B3C-95CD-E23A7440B525","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"91be864127d3b9bb39815e379692c0e18990ac10","datavalue":{"value":"http://hdl.handle.net/2115/69271","type":"string"},"datatype":"url"},"type":"statement","id":"Q1827093$085EDCF8-3392-4380-89A2-9AD3751F4105","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"61adb6a567cf858fd302f38cf2832d24847320fd","datavalue":{"value":"According to the definition of F\u00f6llmer and Leukert, the shortfall risk is the expectation of the shortfall weighted by a loss function, and looked for strategies that minimize the shortfall risk under a capital constraint.   In order to measure the shortfall risk, the author uses coherent risk measures proposed by Artzener, Delbaen, Eber and Heath.  On the basis of a representation result in the case of coherent \\(L^1\\)-lower-semicontinuous risk measures, it is proved that, for a given contingent claim \\(H\\), the optimal strategy consists in hedging a modified claim \\(\\phi H\\), for some randomized test \\(\\phi\\) (i.e. \\(\\phi:\\Omega\\to[0,1]\\), with \\(\\phi\\) measurable, given the probability space \\((\\Omega, F,P)\\)).  Finally some cases involving special coherent risk measures are considered, as the worst conditional expectation.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$DB6D1361-29F8-4B7F-974B-EB972DF03F15","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"e54dfc2ecddf296ea542bd5ed5f10672d6b15158","datavalue":{"value":"91B30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$49B7ECAB-1EB0-40BE-ACE1-0C2EB9679658","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4ab83e4aad0d91ff4fa3028b5f306edce46af30b","datavalue":{"value":"91B70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$F3AE739F-3E81-4A4C-9FA4-8BDC7B25852F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$17FA5BBE-66A1-46AC-B23E-DEEB932E8EDC","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"9783ddd115b567996f4bac99e2f31f1d392be492","datavalue":{"value":"2082148","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$EA5D8BFA-7A9B-4007-B42A-384660877460","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9892bc6aa983d007e8b62d576da101f0a03cddf5","datavalue":{"value":"hedging","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$77614387-C40A-4444-9F4B-0F85B74441C0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"82477143aaaa55ee2555a99c16890f3dc84da35e","datavalue":{"value":"shortfall risk","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$E058424F-08E0-4833-8B81-D987CC4907A4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"c8dffcf4666324d620279c8bf9b3495f7ad1ab50","datavalue":{"value":"efficient hedging","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$50F4A275-31B5-4095-AA46-14AA4C048E12","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"f0000c545d8210be58d7e02aaa939a7a60d6c4ae","datavalue":{"value":"coherent risk measure","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$78B54C1D-C784-47E8-9B7E-641B3B397276","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"edaf26ebee8ea516023b5321e1e1e692d24ceb59","datavalue":{"value":"randomized test","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$9571D8B6-1E15-4BA9-923B-8C5E1DC89077","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b8f07654f43256ab868f56b55a42f0b086195ec0","datavalue":{"value":"Neyman-Pearson lemma","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$B01E0296-3FAE-48DB-BD0D-C60F21B4042D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"ba6680700dc9eaf1908a06059b1198efe1c46d29","datavalue":{"value":"worst","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$674F4549-B273-4652-AC54-F6D6D24CE52C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9d7864b8c5efbdd06583cb92bc9c9c10bc566b85","datavalue":{"value":"conditional expectation","type":"string"},"datatype":"string"},"type":"statement","id":"Q1827093$0E952078-95AE-464A-9C81-0685CEBEE857","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"0d4e3698ab41401fabaa279c072b204536f987e6","datavalue":{"value":{"entity-type":"item","numeric-id":591248,"id":"Q591248"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$858AD7DA-CB9E-4679-8AA4-514E54BBBE45","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$4F92121C-6660-42B1-AA48-A7538029C065","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"8bc8e95b6cdf8ba6ce7b1f6694ec32b5c21688b7","datavalue":{"value":"W1978849664","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$C963FAA9-8579-46EF-ADFE-073C27B07F45","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"dfeb69db1fe5b127ae519aea2957e67db3478211","datavalue":{"value":{"entity-type":"item","numeric-id":2757301,"id":"Q2757301"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$8D48F656-C0A6-4FC7-ADAB-5DC9197FEE40","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"91ae1fd68ec79da1954aad28e8260ae0dfe0508e","datavalue":{"value":{"entity-type":"item","numeric-id":4550909,"id":"Q4550909"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$D3D03A53-BB71-48A3-BD13-931765913382","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3f4194dd14c7c1c9faae91276197ce742e2bb20d","datavalue":{"value":{"entity-type":"item","numeric-id":1584192,"id":"Q1584192"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$AE5CFA0E-A8ED-4F20-9FAE-5187454A2A7B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"81db9c8a88f0fd51c09cda943cd44ddd1168dbff","datavalue":{"value":{"entity-type":"item","numeric-id":1413175,"id":"Q1413175"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$22F5DA0A-A5D6-4EDB-BB54-7542CB4FD352","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0d923ebc28fe293b39b0f8d0cbb475f6c6a38161","datavalue":{"value":{"entity-type":"item","numeric-id":4548486,"id":"Q4548486"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$34F6C7F1-B7D3-4C34-BB4A-33DB712F3EC7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0440a95031b68c346b5b28690eeac1fc6a6985ed","datavalue":{"value":{"entity-type":"item","numeric-id":4048357,"id":"Q4048357"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1827093$96938F69-2A59-421C-9812-00C1948AD860","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"0ae146cb2a49639e584e3221e8bd26b724fb8d20","datavalue":{"value":"10.1016/J.JMAA.2004.01.010","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1827093$3DDF45DF-B0AC-4046-9324-64AF05529AC3","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"598e280c9660010301ef0c2a66fa6592c8e0a22b","datavalue":{"value":{"entity-type":"item","numeric-id":3623410,"id":"Q3623410"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0aba8602893502b4ade9bdc5af05e7f50fec9d89","datavalue":{"value":{"amount":"+0.8620874881744385","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1827093$5C8D4BB6-2A93-4EC5-AED1-62CD7038F588","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"dc67b082c2480bc0d3430f9e0ce7bd58aaf1e401","datavalue":{"value":{"entity-type":"item","numeric-id":3104064,"id":"Q3104064"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a473e18d030104f347424cfe4e487e96a1a82911","datavalue":{"value":{"amount":"+0.8553868532180786","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1827093$7B00644E-04CB-4880-921C-EC79D82DABEE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"717a2b51255696a37d57d9861261de32ce1d84f6","datavalue":{"value":{"entity-type":"item","numeric-id":1584192,"id":"Q1584192"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8a5bcb07c2086ac25477a339c0c32b115ab0c0ea","datavalue":{"value":{"amount":"+0.83918696641922","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1827093$BD5D0E7A-B0AA-4699-9141-10FE0E0B2167","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a0cce5f3f2682eed42c2ae624d3d57d9ee20954b","datavalue":{"value":{"entity-type":"item","numeric-id":254506,"id":"Q254506"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"954b3412f987ef5f1fb47e8f37f4c19cb602e265","datavalue":{"value":{"amount":"+0.8385081887245178","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1827093$92EFAA17-F325-4C20-A505-7C8282AF775F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"721f134fc506f0ab12b1c61429d4069062ab2a0f","datavalue":{"value":{"entity-type":"item","numeric-id":2904890,"id":"Q2904890"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8ab795a9932d1f540885de8359c0c48315a606af","datavalue":{"value":{"amount":"+0.8230148553848267","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1827093$E8ECA789-2ECB-466E-94A2-F9CE2C8A297C","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1827093","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1827093"}}}}}