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Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
8 references·16 citing·40 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1999Quantile hedging294 cited
  • 1993Hedging Contingent Claims with Constrained Portfolios250 cited
  • 1996On the pricing of contingent claims under constraints191 cited
  • 1998Optimal Replication of Contingent Claims under Portfolio Constraints130 cited
  • 1998Mean-variance hedging for continuous processes: New proofs and examples127 cited

Cited by

  • 2004On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals87 cited
  • 2001Dual Formulation of the Utility Maximization Problem Under Transaction Costs83 cited
  • 2004Optimal Portfolio in a Multiple-Priors Model77 cited
  • 2001Hedging Equity-Linked Life Insurance Contracts76 cited
  • 1999Maximizing the probability of a perfect hedge63 cited
  • 2002Optimal investment with transaction costs and without semimartingales51 cited
  • 2002PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT48 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2002On Valuation and Risk Management at the Interface of Insurance and Finance48 cited
  • 2012Dynamic Hedging in Incomplete Markets: A Simple Solution47 cited
  • 2000Conservative delta hedging45 cited
  • 2004Dual formulation of the utility maximization problem: The case of nonsmooth utility44 cited
  • 2002Minimizing Shortfall Risk and Applications to Finance and Insurance Problems40 cited
  • 2001Stochastic optimization under constraints35 cited
  • 2008EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS33 cited
  • 2004Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities33 cited
  • 2004Dynamic Minimization of Worst Conditional Expectation of Shortfall31 cited