Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
From MaRDI portal
Recommendations
Cited in
(48)- Maximum-loss, minimum-win and the Esscher pricing principle
- The efficient hedging problem for American options
- Efficient frontier of utility and CVaR
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Shortfall risk minimization versus symmetric (quadratic) hedging
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Optimal portfolios in Lévy markets under state-dependent bounded utility functions
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- On infinite-horizon minimum-cost hedging under cone constraints
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Optimal hedging in incomplete markets
- VaR-based optimal partial hedging
- 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
- Constrained nonsmooth utility maximization on the positive real line
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- 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
- Shortfall risk minimising strategies in the binomial model: characterisation and convergence
- Partial hedging in financial markets with a large agent
- Economic neutral position: how to best replicate not fully replicable liabilities?
- ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
- Near-optimal asset allocation in financial markets with trading constraints
- AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
- Hedging of options with the help of conditional expected loss criterion
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- Cooperative Hedging in Incomplete Markets
- PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- scientific article; zbMATH DE number 1539033 (Why is no real title available?)
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Asymptotic option price with bounded expected loss
- Optimal investment with transaction costs and without semimartingales
- A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
- 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
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- 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
This page was built for publication: Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4507396)