Efficient hedging with coherent risk measure
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Publication:1827093
DOI10.1016/j.jmaa.2004.01.010zbMath1085.91032OpenAlexW1978849664MaRDI QIDQ1827093
Publication date: 6 August 2004
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2115/69271
hedgingconditional expectationNeyman-Pearson lemmaefficient hedgingcoherent risk measureshortfall riskrandomized testworst
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