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The minimal risk of hedging with a convex risk measure.
- Source :
- Advances in Mathematical Economics (9784431343417); 2006, p109-116, 8p
- Publication Year :
- 2006
-
Abstract
- We study the minimal hedging risk for a bounded European contingent claim when we use a convex risk measure. We find the infimum of hedging risk by using a kind of min-max theorem. Also we show that this infimum is again regarded as a convex risk measure. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISBNs :
- 9784431343417
- Database :
- Supplemental Index
- Journal :
- Advances in Mathematical Economics (9784431343417)
- Publication Type :
- Book
- Accession number :
- 32943191
- Full Text :
- https://doi.org/10.1007/4-431-34342-3_7