Maximizing the probability of a perfect hedge
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Cites work
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
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- Optimal consumption and portfolio policies when asset prices follow a diffusion process
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- Quantile hedging
- Utility maximization with partial information
Cited in
(28)- Maximizing the probability of a perfect hedge in the case of stochastic interest rate
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Dynamic hedging of conditional value-at-risk
- Shortfall risk minimization versus symmetric (quadratic) hedging
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- VaR-based optimal partial hedging
- Buyer's quantile hedge portfolios in discrete-time trading
- Quantile hedging in a semi-static market with model uncertainty
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Portfolio choice via quantiles
- Partial hedging and cash requirements in discrete time
- Reaching goals under ambiguity: continuous-time optimal portfolio selection
- MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Economic neutral position: how to best replicate not fully replicable liabilities?
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- Optimal payoffs under state-dependent preferences
- Cooperative Hedging in Incomplete Markets
- On the construction of optimal payoffs
- Cooperative hedging with a higher interest rate for borrowing
- Optimal design of equity-linked products with a probabilistic constraint
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- The hurdle-race problem.
- The design of equity-indexed annuities
- Minimizing shortfall risk and applications to finance and insurance problems
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