Efficient hedging with coherent risk measure

By Yumiharu Nakano. 2001

79 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/bb9149738950a025a3ec8bfae6d5e24b449595cd

How researchers see this paper

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In Finance

1. Birgit Rudloff

In Management Science and Operations Research

1. Birgit Rudloff

Citations in the corpus

• Optimal reinsurance with general risk measures (2009, unknown): “For example, Laeven and Goovaerts (2004) and Dhaene et al. (2008) analyze the capital allocation problem, Carr et al. (2001) and Nakano (2004) draw on risk measures to price in incomplete markets, Basak and Shapiro (2001), Mansini et al. (2007) and Schied (2007) deal with risk management, portfolio…”
• Convex Hedging in Incomplete Markets (2007, methodology): “This problem has been studied using the probability (Föllmer and Leukert, 1999), the expectation of a loss function (Föllmer and Leukert, 2000) and a coherent risk measure (Nakano, 2003, 2004; Rudloff, 2005) to quantify the shortfall risk.”