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2006-01-13Buch DOI: 10.18452/3688
Efficient Hedging
dc.contributor.authorFöllmer, Hans
dc.contributor.authorLeukert, Peter
dc.date.accessioned2017-06-15T21:48:17Z
dc.date.available2017-06-15T21:48:17Z
dc.date.created2006-01-13
dc.date.issued2006-01-13
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4340
dc.description.abstractAn investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal probability, given a capital constraint. Here we look for strategies which minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient hedges allow the investor to interpolate in a systematic way between the extremes of no hedge and a perfect (super-)hedge, depending on the accepted level of shortfall risk.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectrisk managementeng
dc.subjectstochastic volatilityeng
dc.subjectshortfall riskeng
dc.subjectHedgingeng
dc.subjectefficient hedgeseng
dc.subjectlower partial momentseng
dc.subjectconvex dualityeng
dc.subject.ddc330 Wirtschaft
dc.titleEfficient Hedging
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056108
dc.identifier.doihttp://dx.doi.org/10.18452/3688
dc.subject.dnb17 Wirtschaft
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1999
dc.title.subtitleCost versus Shortfall Risk
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1999,18

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