Hedging, Pareto optimality, and good deals

DOI10.1007/s10957-012-0209-0zbMath1273.91415OpenAlexW3121898192MaRDI QIDQ364733

Keivan Mallahi Karai, Hirbod Assa

Publication date: 9 September 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0209-0

zbMATH Keywords

capacityhedgingPareto optimalityco-monotone additivegood deals

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Related Items (5)

VaR as the CVaR sensitivity: applications in risk optimization ⋮ Natural risk measures ⋮ Trade-off between robust risk measurement and market principles ⋮ Price Index Insurances in the Agriculture Markets ⋮ Differential equations connecting VaR and CVaR

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
• Optimal reinsurance with general risk measures
• Extending pricing rules with general risk functions
• On the different notions of arbitrage and existence of equilibrium
• A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium
• Axiomatic characterization of insurance prices
• Inconsequential arbitrage
• Good deals and compatible modification of risk and pricing rule: a regulatory treatment
• Generalized deviations in risk analysis
• The mathematics of arbitrage
• Coherent Measures of Risk
• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• Pricing with Coherent Risk
• Arbitrage and the Existence of Competitive Equilibrium
• Asset Market Equilibrium with Short-Selling
• Integral Representation Without Additivity
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L¹
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Stochastic finance. An introduction in discrete time
• Coherent risk measures and good-deal bounds

This page was built for publication: Hedging, Pareto optimality, and good deals