Efficient hedging with coherent risk measure
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Publication:1827093
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Cites work
- scientific article; zbMATH DE number 3462958 (Why is no real title available?)
- scientific article; zbMATH DE number 1788883 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Coherent measures of risk
- Efficient hedging: cost versus shortfall risk
- On the worst conditional expectation.
Cited in
(51)- Convex Hedging in Incomplete Markets
- Hedging of options with the help of conditional expected loss criterion
- Bounding contingent claim prices via hedging strategy with coherent risk measures
- Extending pricing rules with general risk functions
- Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
- Characterization of positive homogeneity for the principle of equivalent utility
- VaR-based optimal partial hedging
- Hedging, Pareto optimality, and good deals
- Optimal partial hedging using coherent measure of risk
- Solving the problem of partial hedging through a dual problem
- Optimal reinsurance with general risk measures
- Optimal hedging using cointegration
- On convex risk measures on \(L^{p}\)-spaces
- Designing sound deposit insurances
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- A framework for dynamic hedging under convex risk measures
- Vector risk functions
- Risk-neutral valuation with infinitely many trading dates
- Stable solutions for optimal reinsurance problems involving risk measures
- Nonconvex optimization for pricing and hedging in imperfect markets
- On the worst conditional expectation.
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
- Efficient hedging: cost versus shortfall risk
- Buyer's quantile hedge portfolios in discrete-time trading
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Pricing and hedging European options with discrete-time coherent risk
- Coherent and convex hedging on Orlicz hearts in incomplete markets
- Convex hedging of non-superreplicable claims in discrete-time market models
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- The efficient hedging problem for American options
- Cooperative hedging with a higher interest rate for borrowing
- Risk measures on ordered non-reflexive Banach spaces
- Actuarial pricing with financial methods
- The minimal risk of hedging with a convex risk measure
- Coherent hedging in incomplete markets
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Testing hypotheses for measures with different masses: Four optimization problems
- Natural risk measures
- Minimax strategies and duality with applications in financial mathematics
- Tractable hedging with additional hedge instruments
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Hedging under multiple risk constraints
- Sequential arbitrage measurements and interest rate envelopes
- Minimizing measures of risk by saddle point conditions
- Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
- Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
- scientific article; zbMATH DE number 1948538 (Why is no real title available?)
- Risk management under a prudential policy
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
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