Maximizing the probability of a perfect hedge
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Duality approach is used to solve the problem of maximizing the probability of a perfect hedge on a complete market when starting with a given initial capital. The applied method allows to modify and extend the result, e.g. to a market model with a partial information and to the wealth process with a concave drift, which covers then interesting cases of a large investor or of different interest rates for borrowing and lending.
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Cites work
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with constraints on the gains-process
- Bayesian adaptive portfolio optimization
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Convex duality in constrained portfolio optimization
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- Lectures on the Mathematics of Finance
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption choices for a `large' investor
- Optimal Control of Favorable Games with a Time Limit
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Portfolio choice and the Bayesian Kelly criterion
- Quantile hedging
- Utility maximization with partial information
Cited in
(28)- The hurdle-race problem.
- Reaching goals under ambiguity: continuous-time optimal portfolio selection
- Quantile hedging in a semi-static market with model uncertainty
- Minimizing shortfall risk and applications to finance and insurance problems
- Conservative delta hedging.
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Dynamic hedging of conditional value-at-risk
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- The design of equity-indexed annuities
- Economic neutral position: how to best replicate not fully replicable liabilities?
- Optimal design of equity-linked products with a probabilistic constraint
- Portfolio choice via quantiles
- Maximizing the probability of a perfect hedge in the case of stochastic interest rate
- MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Optimal payoffs under state-dependent preferences
- Partial hedging and cash requirements in discrete time
- Cooperative Hedging in Incomplete Markets
- Buyer's quantile hedge portfolios in discrete-time trading
- VaR-based optimal partial hedging
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
- On the construction of optimal payoffs
- Shortfall risk minimization versus symmetric (quadratic) hedging
- Cooperative hedging with a higher interest rate for borrowing
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