Optimal partial hedging using coherent measure of risk

MaRDI QIDQ3104064zbMATHFDO

Authors Ju Hong Kim

Publication date 19 December 2011

zbMATH Keywords

Neyman-Pearson lemmaincomplete marketscoherent risk measureoptimal hedging

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Efficient hedging with coherent risk measure
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Cited in

(8)

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

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