determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … compare the performance of the optimal strategy for different degrees of the investor's risk-aversion. -- Efficient hedging …

incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …

risk …