Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
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DOI10.1137/S036301299834185XzbMATH Open1034.91037OpenAlexW2007171489MaRDI QIDQ4507396FDOQ4507396
Authors: Jakša Cvitanić 
Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s036301299834185x
Recommendations
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cited In (48)
- Maximum-loss, minimum-win and the Esscher pricing principle
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- The efficient hedging problem for American options
- Efficient frontier of utility and CVaR
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Shortfall risk minimization versus symmetric (quadratic) hedging
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Optimal portfolios in Lévy markets under state-dependent bounded utility functions
- On infinite-horizon minimum-cost hedging under cone constraints
- Optimal hedging in incomplete markets
- VaR-based optimal partial hedging
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Partial hedging in rough volatility models
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- Stochastic optimization under constraints.
- Risk management under weighted limited expected loss
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Constrained nonsmooth utility maximization on the positive real line
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Generalized Neyman-Pearson lemma via convex duality.
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
- Dynamic conic hedging for competitiveness
- Partial hedging in financial markets with a large agent
- Shortfall risk minimising strategies in the binomial model: characterisation and convergence
- ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
- Economic neutral position: how to best replicate not fully replicable liabilities?
- AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
- Near-optimal asset allocation in financial markets with trading constraints
- Hedging of options with the help of conditional expected loss criterion
- Cooperative Hedging in Incomplete Markets
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
- Title not available (Why is that?)
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Asymptotic option price with bounded expected loss
- A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
- Optimal investment with transaction costs and without semimartingales
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Cooperative hedging with a higher interest rate for borrowing
- Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Hedging Equity-Linked Life Insurance Contracts
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Testing composite hypotheses via convex duality
- Minimizing shortfall risk and applications to finance and insurance problems
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