Cooperative Hedging in Incomplete Markets

DOI10.1081/SAP-200056649MaRDI QIDQ5316799zbMATH OpenFDO

Authors Jianming Xia

Publication date 15 September 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

corepartial hedgingsuperhedging

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Cooperative hedging with a higher interest rate for borrowing
• Cooperative hedging in the complete market under \(g\)-expectation constraint
• Multi-agent investment in incomplete markets
• Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
• Optimal risk sharing as a cooperative game

Cites work

• scientific article; zbMATH DE number 1948538 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Efficient hedging: cost versus shortfall risk
• Generalized Neyman-Pearson lemma via convex duality.
• Lectures on the Mathematics of Finance
• Maximizing the probability of a perfect hedge
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Multi-agent investment in incomplete markets
• On dynamic measure of risk
• Optimal Control of Favorable Games with a Time Limit
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Quantile hedging
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The fundamental theorem of asset pricing for unbounded stochastic processes

Cited in

(6)

• Cooperative cover of uniform demand
• Cooperative investment in incomplete markets under financial fairness
• Cooperative hedging in the complete market under \(g\)-expectation constraint
• Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
• Cooperative hedging with a higher interest rate for borrowing
• Multi-agent investment in incomplete markets

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