Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints

DOI10.1080/1350486032000102924zbMATH Open1090.91054OpenAlexW2151076144MaRDI QIDQ4457073FDOQ4457073

Yumiharu Nakano

Publication date: 21 March 2004

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486032000102924

zbMATH Keywords

Convex DualityCoherent Risk MeasureConstrained StrategyShortfall RiskSuper-hedging

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (20)

• EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• The efficient hedging problem for American options
• Minimization of shortfall risk in a jump-diffusion model
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Bounding contingent claim prices via hedging strategy with coherent risk measures
• Buyer's quantile hedge portfolios in discrete-time trading
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• Coherent hedging in incomplete markets
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• Shortfall risk minimization in a discrete regime switching model
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
• Testing hypotheses for measures with different masses: Four optimization problems
• Convex hedging of non-superreplicable claims in discrete-time market models
• Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
• Coherent multiperiod risk adjusted values and Bellman's principle
• Convex Hedging in Incomplete Markets
• Partial hedging of American contingent claims in a finite discrete time model

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