Hedging bounded claims with bounded outcomes

MaRDI QIDQ5482555zbMATH OpenFDO

Authors Freddy Delbaen

Publication date 28 August 2006

zbMATH Keywords

Brownian motionhedginginfimal convolutionFatou propertycoherent utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70)

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Cited in

(4)

• Optimal risk sharing with non-monotone monetary functionals
• The strong Fatou property of risk measures
• Short note on inf-convolution preserving the Fatou property
• Inf-convolution and optimal risk sharing with countable sets of risk measures

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