An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined … the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined … the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …

process. The robust utility functional is defined in terms of a HARA utility function with negative risk aversion and a … dynamically consistent coherent risk measure, which allows for model uncertainty in the distributions of both the asset price …

terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a …

An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is … often quite expensive, we study partial hedges which require less capital and reduce the risk. In a previous paper we … minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …