On dynamic measure of risk
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Publication:1979073
DOI10.1007/S007800050071zbMATH Open0982.91030OpenAlexW3123942473MaRDI QIDQ1979073FDOQ1979073
Authors: Jakša Cvitanić, Ioannis Karatzas 
Publication date: 24 May 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050071
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
Cited In (61)
- Dynamic programming and hedging strategies in discrete time
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- The efficient hedging problem for American options
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- A stochastic differential game for optimal investment of an insurer with regime switching
- Shortfall risk minimization versus symmetric (quadratic) hedging
- Robust utility maximization of terminal wealth with drift and volatility uncertainty
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- Dynamic risk measures under model uncertainty
- On Bayesian value at risk: from linear to non-linear portfolios
- Optimal investment under VaR-regulation and minimum insurance
- Risk measures and return performance: a critical approach.
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Hedging with risk for game options in discrete time
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Mean-expectile portfolio selection
- A PDE approach to risk measures of derivatives
- Robust optimal portfolio choice under Markovian regime-switching model
- Generalized Neyman-Pearson lemma via convex duality.
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- The Iterated Cte
- Methods of partial hedging
- On stochastic optimal control for stock price volatility
- Partial hedging in financial markets with a large agent
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Shortfall risk minimising strategies in the binomial model: characterisation and convergence
- Multidimensional dynamic risk measure via conditional \(g\)-expectation
- Optimal portfolio management with American capital guarantee
- Pricing and hedging European options with discrete-time coherent risk
- Conservative delta hedging.
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Risk measures via \(g\)-expectations
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- Cooperative Hedging in Incomplete Markets
- Option pricing with transaction costs using a Markov chain approximation
- OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- Financial options and statistical prediction intervals
- Robust consumption-investment problem on infinite horizon
- A framework for dynamic hedging under convex risk measures
- Partial super-hedging of derivatives with model risk
- An HMM approach for optimal investment of an insurer
- Dynamic coherent acceptability indices and their applications to finance
- Cooperative hedging with a higher interest rate for borrowing
- A dynamic extension of the Foster-Hart measure of riskiness
- Effectiveness of CPPI strategies under discrete-time trading
- Binomial approximations of shortfall risk for game options
- Coherent multiperiod risk adjusted values and Bellman's principle
- The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
- Risk measure pricing and hedging in incomplete markets
- Insurance valuation: a computable multi-period cost-of-capital approach
- Dynamic coherent risk measures
- Minimizing shortfall risk and applications to finance and insurance problems
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