Search Results - subject:"convex measure of risk"

Convex hedging of non-superreplicable claims in discrete-time market models

Tkalinski, Tomasz - In: Mathematical Methods of Operations Research 79 (2014) 2, pp. 239-252

All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The goal of this paper is to investigate the convex hedging of contingent claims for which superhedging does not exist. Without superhedging assumption it is still possible to prove...

Persistent link: https://www.econbiz.de/10010848600

Convex hedging of non-superreplicable claims in discrete-time market models

Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10010347953

Risk measure pricing and hedging in incomplete markets

Xu, Mingxin - In: Annals of Finance 2 (2006) 1, pp. 51-71

Persistent link: https://www.econbiz.de/10005542182

Risk Measure Pricing and Hedging in Incomplete Markets

Xu, Mingxin - EconWPA - 2004

by minimizing a convex measure of risk. We will give the definition of risk-efficient options and confirm that options …

Persistent link: https://www.econbiz.de/10005134826

Convex measures of risk and trading constraints

Föllmer, Hans; Schied, Alexander - In: Finance and Stochastics 6 (2002) 4, pp. 429-447

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in …

Persistent link: https://www.econbiz.de/10005613387