Optimal partial hedging using coherent measure of risk

zbMATH Open1264.91072MaRDI QIDQ3104064FDOQ3104064

Authors: Ju Hong Kim 

Publication date: 19 December 2011

Recommendations

• Efficient hedging with coherent risk measure
• Optimization of risk measures
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• Coherent and convex hedging on Orlicz hearts in incomplete markets
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zbMATH Keywords

Neyman-Pearson lemmaincomplete marketscoherent risk measureoptimal hedging

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (8)

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

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