Optimal partial hedging using coherent measure of risk

MaRDI QIDQ3104064zbMATH OpenFDO

Authors Ju Hong Kim

Publication date 19 December 2011

zbMATH Keywords

coherent risk measureincomplete marketsNeyman-Pearson lemmaoptimal hedging

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Efficient hedging with coherent risk measure
• Optimization of risk measures
• Methods of partial hedging
• Coherent and convex hedging on Orlicz hearts in incomplete markets
• A framework for dynamic hedging under convex risk measures

Cited in

(8)

• Construction of a mean-square optimal hedge with limited investment
• Efficient hedging with coherent risk measure
• An optimal combination of risk-return and naive hedging
• Coherent and convex hedging on Orlicz hearts in incomplete markets
• Optimal hedging using cointegration
• Cooperative hedging in the complete market under \(g\)-expectation constraint
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies
• Bounding contingent claim prices via hedging strategy with coherent risk measures

This page was built for publication: Optimal partial hedging using coherent measure of risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3104064)