Convex Hedging in Incomplete Markets
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DOI: 10.1080/13504860701352206
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Cited by:
- Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
- Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
- Barski Michał, 2016. "On the shortfall risk control: A refinement of the quantile hedging method," Statistics & Risk Modeling, De Gruyter, vol. 32(2), pages 125-141, March.
- Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
- Ilhan, Aytaç & Jonsson, Mattias & Sircar, Ronnie, 2009. "Optimal static-dynamic hedges for exotic options under convex risk measures," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3608-3632, October.
- Zhenyu Cui & Jun Deng, 2018. "Shortfall risk through Fenchel duality," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-14, June.
- Marcelo Righi, 2024. "Optimal hedging with variational preferences under convex risk measures," Papers 2407.03431, arXiv.org, revised Oct 2024.
- Jing Li & Mingxin Xu, 2013.
"Optimal Dynamic Portfolio with Mean-CVaR Criterion,"
Risks, MDPI, vol. 1(3), pages 1-29, November.
- Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Papers 1308.2324, arXiv.org.
- Tim Leung & Qingshuo Song & Jie Yang, 2013.
"Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing,"
Finance and Stochastics, Springer, vol. 17(4), pages 839-870, October.
- Tim Leung & Qingshuo Song & Jie Yang, 2011. "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers 1109.5316, arXiv.org, revised Mar 2013.
- Micha{l} Barski, 2014. "On the shortfall risk control -- a refinement of the quantile hedging method," Papers 1402.3725, arXiv.org, revised Dec 2015.
- Ludovic Tangpi, 2018. "Efficient hedging under ambiguity in continuous time," Papers 1812.10876, arXiv.org, revised Mar 2019.
- L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
- Mustafa Ç. Pinar, 2010. "Buyer's quantile hedge portfolios in discrete-time trading," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 729-738, October.
- Martin Glanzer & Georg Ch. Pflug & Alois Pichler, 2017. "Incorporating statistical model error into the calculation of acceptability prices of contingent claims," Papers 1703.05709, arXiv.org, revised Jan 2019.
- Tomasz Tkalinski, 2014. "Convex hedging of non-superreplicable claims in discrete-time market models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 239-252, April.
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Keywords
hedging; shortfall risk; convex risk measures; convex duality; generalized Neyman-Pearson lemma;All these keywords.
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