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Efficient hedging with coherent risk measure

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Please use this identifier to cite or link to this item:http://doi.org/10.14943/83667

Title: Efficient hedging with coherent risk measure
Authors: Nakano, Yumiharu Browse this author
Keywords: hedging
shortfall risk
efficient hedging
coherent risk measure
randomized test
Neyman-Pearson lemma
worst conditional expectation
Issue Date: Mar-2001
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 521
Start Page: 1
End Page: 10
Abstract: The 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).
Type: bulletin (article)
URI: http://hdl.handle.net/2115/69271
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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