Publikation:

Neyman-Pearson Hedging and Dynamic Measures of Risk

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494_1.pdf
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2000

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Working Paper/Technical Report
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Zusammenfassung

In both complete and incomplete markets we consider the problem of fulfilling
a financial obligation x as well as possible at time T if the initial capital is not
sufficient to hedge x. This introduces a new risk into the market and our main
aim is to minimize this shortfall risk by making use of results from bsde theory.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

capital requirement, hedging, Neyman-Pearson hedging, dynamic measures of risk, mean variance hedging

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ISO 690KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Risk
BibTex
@techreport{Kohlmann2000Neyma-696,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Neyman-Pearson Hedging and Dynamic Measures of Risk},
  number={2000/11},
  author={Kohlmann, Michael}
}
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