Dynamic Minimization of Worst Conditional Expectation of Shortfall

DOI10.1111/J.0960-1627.2004.00207.XMaRDI QIDQ4673673zbMATH OpenOpenAlexFDO

Authors Jun Sekine

Publication date 9 May 2005

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2004.00207.x

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic games, stochastic differential games (91A15)

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Cites work

• A stochastic control approach to risk management under restricted information.
• Coherent measures of risk
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Efficient hedging with coherent risk measure
• Maximizing the probability of a perfect hedge
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Minimizing shortfall risk and applications to finance and insurance problems
• On dynamic measure of risk
• On the worst conditional expectation.
• Quantile hedging

Cited in

(12)

• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Pricing and hedging European options with discrete-time coherent risk
• Optimal hedging when the underlying asset follows a regime-switching Markov process
• Shortfall risk minimization in discrete time financial market models
• Dynamic conic hedging for competitiveness
• Risk Measures and Robust Optimization Problems
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Computation of expected shortfall by fast detection of worst scenarios
• Robustness in the optimization of risk measures
• VaR-based optimal partial hedging
• The perturbation method applied to a robust optimization problem with constraint
• Risk measure pricing and hedging in incomplete markets

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