Cooperative hedging in the complete market under g-expectation constraint

DOI10.1007/S10255-011-0077-7MaRDI QIDQ475681zbMATH OpenOpenAlexFDO

Authors Qing Zhou

Publication date 27 November 2014

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-011-0077-7

zbMATH Keywords

backward stochastic differential equationNeyman-Pearson lemmahedging\(g\)-probability

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 1948538 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• A Unified Approach to Generate Risk Measures
• Axiomatic characterization of insurance prices
• Backward Stochastic Differential Equations in Finance
• Coherent measures of risk
• Cooperative Hedging in Incomplete Markets
• Cooperative hedging with a higher interest rate for borrowing
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Efficient hedging: cost versus shortfall risk
• Generalized Neyman-Pearson lemma via convex duality.
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Multi-agent investment in incomplete markets
• On dynamic measure of risk
• Optional decomposition and Lagrange multipliers
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Quantile hedging
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Risk measures and insurance premium principles.
• Risk measures via \(g\)-expectations
• Some new classes of consistent risk measures

Cited in

(3)

• Cooperative Hedging in Incomplete Markets
• Cooperative hedging with a higher interest rate for borrowing
• Multi-agent investment in incomplete markets

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