Dynamic hedging in incomplete markets using risk measures
type: Item
instance of: scholarly article
title: Dynamic hedging in incomplete markets using risk measures
author: Patrice Gaillardetz
author: Saeb Hachem
published in: IMA Journal of Management Mathematics
publication date: 2022-03-22T00:00:00Z
Mathematics Subject Classification ID: 90-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7495794
zbMATH Keywords: partial hedging
zbMATH Keywords: local risk-minimizing strategies
zbMATH Keywords: stochastic dynamic programming
zbMATH Keywords: linear programming
zbMATH Keywords: parametric linear programming
zbMATH Keywords: risk measures
MaRDI profile type: MaRDI publication profile
full work available at URL: dpab017
OpenAlex ID: W3170101693
DOI: 10.1093/IMAMAN/DPAB017
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description: scientific article; zbMATH DE number 7495794