Cooperative Hedging in Incomplete Markets

DOI10.1081/SAP-200056649zbMATH Open1113.91029MaRDI QIDQ5316799FDOQ5316799

Authors: Jianming Xia 

Publication date: 15 September 2005

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

Recommendations

• 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

zbMATH Keywords

corepartial hedgingsuperhedging

Mathematics Subject Classification ID

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

Cites Work

• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Quantile hedging
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Efficient hedging: cost versus shortfall risk
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Generalized Neyman-Pearson lemma via convex duality.
• On dynamic measure of risk
• Optimal Control of Favorable Games with a Time Limit
• Maximizing the probability of a perfect hedge
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Lectures on the Mathematics of Finance
• Multi-agent investment in incomplete markets
• Title not available (Why is that?)
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

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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