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Efficient hedging with coherent risk measure
| 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 |
| Publisher: | Department of Mathematics, Hokkaido University |
| 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
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Submitter: 数学紀要登録作業用
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