The minimal risk of hedging with a convex risk measure

DOI10.1007/4-431-34342-3_7zbMATH Open1187.91112OpenAlexW2188043529MaRDI QIDQ3564008FDOQ3564008

Authors: Yuji Umezawa 

Publication date: 2 June 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/4-431-34342-3_7

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zbMATH Keywords

hedgingrisk measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Minimax problems in mathematical programming (90C47)

Cited In (4)

• Satisfying convex risk limits by trading
• Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
• Risk reducers in convex order
• A framework for dynamic hedging under convex risk measures

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