Efficient hedging: Cost versus shortfall risk

By Hans Föllmer, Peter Leukert. Finance and Stochastics, 2000

378 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f89f0195bf4ce3b8b30ecfa1c004c52e199e83ba

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Citations in the corpus

Risk measure pricing and hedging in incomplete markets (2006, background): “This is an enlargement of the admissible set of the existence Theorem 3.2 in Föllmer and Leukert [17] where they required the admissible portfolios to be nonnegative.”
Minimizing Shortfall Risk and Applications to Finance and Insurance Problems (2002, methodology): “Motivated by a hedging problem in an incomplete financial market context, Föllmer and Leukert (1999, 2000) have extended the approach of the last cited authors.”
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001, background): “177, 178, 179, 180, 181, 182], Edirisinghe, Naik, and Uppal [47], Schäl [174], Delbaen and Schachermayer [38], El Karoui and Quenez [48], Monat and Stricker [147], Soner, Shreve, and Cvitanić [190], Kramkov [116], Lamberton, Pham, and Schweizer [120], Pham, Rheinländer, and Schweizer [157], Föllmer ”
Convex measures of risk and trading constraints (2002, background): “The risk measure arising from this class of acceptable positions is closely related to the problem of efficient hedging or the problem of utility maximization; see, e.g., [ 6 ], [15].”
On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals (2004, background): “It is well known that such an optimal strategy can be constructed by hedging a solution to a static problem of type (1); see Cvitanić [3], Föllmer and Leukert [9], [10], Kirch [18], Kulldorff [19], and Pham [22].”
Performance of utility-based strategies for hedging basis risk (2004, methodology): “We use an exponential utility function to express the investor’s risk preferences, though future work will explore strategies across different preferences and risk measures, such as ‘expected shortfall’ [5].”
Risk Measures and Robust Optimization Problems (2006, methodology): “In Section 3.2, we discuss the concept of efficient hedging, as introduced by Föllmer and Leukert[32], in terms of the more general framework of convex risk measures.”
Convex Hedging in Incomplete Markets (2007, methodology): “Föllmer and Leukert (1999) and some special cases of Föllmer and Leukert (2000)), one can see that e U0~ V0 since the optimal test”
Deep hedging (2018, methodology): “To illustrate our approach, we will build on ideas from Föllmer and Leukert (2000) and Ilhan et al. (2009) and optimize hedging of a portfolio of derivatives under convex risk measures.”
Utility indifference pricing : an overview (2009, methodology): “This problem has been considered by Föllmer and Leukert [23].”