Dynamic Minimization of Worst Conditional Expectation of Shortfall
From MaRDI portal
Publication:4673673
DOI10.1111/j.0960-1627.2004.00207.xzbMath1108.91046OpenAlexW3126071912MaRDI QIDQ4673673
Publication date: 9 May 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00207.x
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
Dynamic conic hedging for competitiveness ⋮ Risk minimizing portfolios and HJBI equations for stochastic differential games ⋮ Risk measure pricing and hedging in incomplete markets ⋮ VAR-BASED OPTIMAL PARTIAL HEDGING ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process ⋮ Risk Measures and Robust Optimization Problems ⋮ Robustness in the Optimization of Risk Measures
Cites Work
- On the worst conditional expectation.
- Maximizing the probability of a perfect hedge
- Efficient hedging with coherent risk measure
- Minimizing shortfall risk and applications to finance and insurance problems
- Quantile hedging
- On dynamic measure of risk
- A Stochastic Control Approach to Risk Management Under Restricted Information
- Coherent Measures of Risk
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Dynamic L p-Hedging in Discrete Time under Cone Constraints
This page was built for publication: Dynamic Minimization of Worst Conditional Expectation of Shortfall
