Local Expected Shortfall-Hedging in Discrete Time *

DOI10.1023/A:1022506825795MaRDI QIDQ4707095zbMATH OpenOpenAlexFDO

Authors Marco Schulmerich, Siegfried Trautmann

Publication date 9 June 2003

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1022506825795

zbMATH Keywords

expected shortfallhedgingcoherent risk measuressuperhedgingself-financing strategiesmyopic hedging strategies

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

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Cited in

(13)

• Expected shortfall and optimal hedging payoff
• Dynamic programming and hedging strategies in discrete time
• The efficient hedging problem for American options
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Shortfall risk minimization versus symmetric (quadratic) hedging
• MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
• Shortfall risk minimising strategies in the binomial model: characterisation and convergence
• Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
• Option pricing and hedging with minimum local expected shortfall
• On the non-existence of conditional value-at-risk under heavy tails and short sales
• On risk management problems related to a coherence property
• Minimum variance hedging in a model with jumps at Poisson random times
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK

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