Dynamic L p-Hedging in Discrete Time under Cone Constraints

DOI10.1137/S0363012998341095MaRDI QIDQ4943740zbMATH OpenOpenAlexFDO

Authors Huyên Pham

Publication date 19 March 2000

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012998341095

zbMATH Keywords

constrained portfoliosconvex dualitydiscrete timehedgingshortfallstochastic control problemsuperhedging

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

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Cited in

(20)

• On infinite-horizon minimum-cost hedging under cone constraints
• Minimizing shortfall risk and applications to finance and insurance problems
• Stochastic optimization under constraints.
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• Optimal hedging when the underlying asset follows a regime-switching Markov process
• Minimization of shortfall risk in a jump-diffusion model
• Economic neutral position: how to best replicate not fully replicable liabilities?
• GARCH options via local risk minimization
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Partial hedging of American contingent claims in a finite discrete time model
• Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• The efficient hedging problem for American options
• Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
• Shortfall risk minimization versus symmetric (quadratic) hedging
• Shortfall risk minimising strategies in the binomial model: characterisation and convergence

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