Risk measure pricing and hedging in incomplete markets (Q665707): Difference between revisions

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+https://doi.org/10.1007/s10436-005-0023-x
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+W2150733281
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+Coherent Measures of Risk
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+Inf-convolution of risk measures and optimal risk transfer
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+Incompleteness of markets driven by a mixed diffusion
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+A general version of the fundamental theorem of asset pricing
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+Valuation and martingale properties of shadow prices: an exposition
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+Efficient hedging: cost versus shortfall risk
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+Optional decomposition and Lagrange multipliers
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+Convex measures of risk and trading constraints
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Minimax and minimal distance martingale measures and their relationship to portfolio optimization
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+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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+ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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+Derivative pricing based on local utility maximization
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+On the pricing of contingent claims under constraints
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+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
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+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
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+Satisfying convex risk limits by trading
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+An example of indifference prices under exponential preferences
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+A valuation algorithm for indifference prices in incomplete markets
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+Pricing Via Utility Maximization and Entropy
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+Dynamic Minimization of Worst Conditional Expectation of Shortfall
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+Publication:665707