Maximizing the probability of a perfect hedge
From MaRDI portal
Publication:1578595
DOI10.1214/aoap/1029962873zbMath0966.91042OpenAlexW2060622579MaRDI QIDQ1578595
Gennady Spivak, Jakša Cvitanić
Publication date: 4 September 2000
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1029962873
Related Items
Minimizing shortfall risk and applications to finance and insurance problems ⋮ Conservative delta hedging. ⋮ Reaching goals under ambiguity: continuous-time optimal portfolio selection ⋮ Cooperative Hedging in Incomplete Markets ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ Optimal partial hedging of an American option: shifting the focus to the expiration date ⋮ MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS ⋮ The hurdle-race problem. ⋮ Dynamic hedging of conditional value-at-risk ⋮ Buyer's quantile hedge portfolios in discrete-time trading ⋮ VAR-BASED OPTIMAL PARTIAL HEDGING ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ PORTFOLIO MANAGEMENT WITH CONSTRAINTS ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Dynamic Minimization of Worst Conditional Expectation of Shortfall ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ Optimal payoffs under state-dependent preferences ⋮ Cooperative hedging with a higher interest rate for borrowing ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process ⋮ The design of equity-indexed annuities ⋮ 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 ⋮ On the construction of optimal payoffs ⋮ Partial hedging and cash requirements in discrete time ⋮ Shortfall risk minimization versus symmetric (quadratic) hedging
Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption choices for a `large' investor
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Convex duality in constrained portfolio optimization
- Backward stochastic differential equations with constraints on the gains-process
- Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
- Utility maximization with partial information
- Quantile hedging
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Lectures on the Mathematics of Finance
- Portfolio choice and the Bayesian Kelly criterion
- Backward Stochastic Differential Equations in Finance
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Optimal Control of Favorable Games with a Time Limit
- Unnamed Item
- Unnamed Item
- Unnamed Item
