Duality in a Problem of Static Partial Hedging under Convex Constraints
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Cites work
- A general version of the fundamental theorem of asset pricing
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Convex Analysis
- Convex duality in constrained portfolio optimization
- Convex Hedging in Incomplete Markets
- Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
- Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
- Efficient hedging with coherent risk measure
- Efficient hedging: cost versus shortfall risk
- Hedging conditional value at risk with options
- Hedging variance options on continuous semimartingales
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- scientific article; zbMATH DE number 6800899 (Why is no real title available?)
- scientific article; zbMATH DE number 1405955 (Why is no real title available?)
- scientific article; zbMATH DE number 3307201 (Why is no real title available?)
- Maxmin expected utility with non-unique prior
- On utility maximization under convex portfolio constraints
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Optimal positioning in derivative securities
- Options and Efficiency
- RISK MEASURES ON ORLICZ HEARTS
- Robust hedging of barrier options.
- Robust hedging of the lookback option
- Robust Preferences and Robust Portfolio Choice
- Robust pricing and hedging of double no-touch options
- Robust static hedging of barrier options in stochastic volatility models
- The maximum maximum of a martingale with given \(n\) marginals
Cited in
(10)- Duality and liquidity constraints under uncertainty
- Robust pricing-hedging dualities in continuous time
- Duality and martingales: a stochastic programming perspective on contingent claims
- On the dual of the solvency cone
- Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
- Testing hypotheses for measures with different masses: Four optimization problems
- Duality in static hedging of barrier options
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Convex duality for partial hedging of American options: continuous price processes
- Solving the problem of partial hedging through a dual problem
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