Dynamic Minimization of Worst Conditional Expectation of Shortfall (Q4673673): Difference between revisions

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+https://doi.org/10.1111/j.0960-1627.2004.00207.x
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+W3126071912
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
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+On dynamic measure of risk
@@ Property / cites work: On dynamic measure of risk / rank @@
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+Quantile hedging
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+On the worst conditional expectation.
@@ Property / cites work: On the worst conditional expectation. / rank @@
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+Efficient hedging with coherent risk measure
@@ Property / cites work: Efficient hedging with coherent risk measure / rank @@
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+Dynamic <i>L <sup>p</sup></i>-Hedging in Discrete Time under Cone Constraints
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+Minimizing shortfall risk and applications to finance and insurance problems
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+A Stochastic Control Approach to Risk Management Under Restricted Information
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+Maximizing the probability of a perfect hedge
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