2024-03-28T23:13:08Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/692712022-11-17T02:08:08Zhdl_2115_45007hdl_2115_116Efficient hedging with coherent risk measureNakano, Yumiharuhedgingshortfall riskefficient hedgingcoherent risk measurerandomized testNeyman-Pearson lemmaworst conditional expectation410The idea of efficient hedging has been introduced by Follmer and Leukert (2000). They defined the shortfall risk as the expectation of the shortfall weighted by a loss function, and looked for strategies that minimize the shortfall risk under a capital constraint. In this paper, to rneasme the shortfall risk, we use the coherent risk measures introduced by Artzner, Delbaen, Eber and Heath (1999). We show that, for a given contingent claim H, the optimal strategy consists in hedging a modified claim cpil for some randomized test <p. This is an analogou of lhe results by Follmer and Leukert (2000).Department of Mathematics, Hokkaido UniversityDepartmental Bulletin Paperapplication/pdfhttp://hdl.handle.net/2115/69271info:doi/10.14943/83667https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/69271/1/pre521.pdfHokkaido University Preprint Series in Mathematics5211102001-03engpublisher