Efficient hedging with coherent risk measure (Q1827093): Difference between revisions
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Property / cites work: Coherent Measures of Risk / rank | |||
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Property / cites work: Efficient hedging: cost versus shortfall risk / rank | |||
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Property / cites work: On the worst conditional expectation. / rank | |||
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Property / cites work: Q4548486 / rank | |||
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Revision as of 17:49, 6 June 2024
scientific article
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English | Efficient hedging with coherent risk measure |
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Efficient hedging with coherent risk measure (English)
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6 August 2004
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According to the definition of Föllmer 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.
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hedging
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shortfall risk
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efficient hedging
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coherent risk measure
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randomized test
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Neyman-Pearson lemma
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worst
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conditional expectation
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