Coherent hedging in incomplete markets
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Publication:3623410
DOI10.1080/14697680802169787zbMath1158.91388MaRDI QIDQ3623410
Publication date: 20 April 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802169787
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Cites Work
- Barrelledness in topological and ordered vector spaces
- Efficient hedging: cost versus shortfall risk
- Efficient hedging with coherent risk measure
- Quantile hedging
- Variational methods in convex analysis
- Coherent Measures of Risk
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Optimization of Convex Risk Functions
- Generalized Neyman-Pearson lemma via convex duality.