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The authors present a solution to the problem of minimizing the expected discounted loss as a solution to the relevant stochastic control problem. Also the supremum of the minimal expected loss, i.e.  \\[ \\rho(x;C)=\\sup_{\\nu\\in D} \\inf_{\\pi(\\cdot)\\in A(x)} E_{\\nu}\\left({{C-X^{x,\\pi}(T)}\\over{S_0(T)}}\\right)^+, \\]  is proposed as a measure of the risk associated with hedging a given liability \\(C\\) at time \\(t=T\\). Here \\(A(x)\\) is the class of admissible portfolio strategies, \\(S_0\\) is a price of the risk-free instrument in the market; \\({\\mathcal P}=\\{P_{nu}\\), \\(\\nu\\in D\\}\\) is a suitable family of probability measures (``scenarios''), \\([0,T]\\) is the temporal horizon during which economic activity take place. In addition to this ``max-min'' approach a related measure of risk in the ``Bayesian'' framework is discussed. Examples are worked out under various ``capital requirement'' and possible interpretations are analysed. 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