The minimal risk of hedging with a convex risk measure.

Authors :: Anderson, Robert
Castaing, Charles
Clarke, Frank H.
Dierker, Egbert
Duffie, Darrell
Evans, Lawrence C.
Fujimoto, Takao
Grandmont, Jean-Michel
Hirano, Norimichi
Hurwicz, Leonid
Ichiishi, Tatsuro
Ioffe, Alexander
Iwamoto, Seiichi
Kamiya, Kazuya
Kawamata, Kunio
Kikuchi, Norio
Maruyama, Toru
Matano, Hiroshi
Nishimura, Kazuo
Richter, Marcel K.
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]

Full Text Access

Tools