Efficient hedging: Cost versus shortfall risk

• 1 February 2000
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 4  (2) , 117-146
• https://doi.org/10.1007/s007800050008

Abstract

Keywords

• STOCHASTIC VOLATILITY
• CONVEX DUALITY
• RISK MANAGEMENT
• EFFICIENT HEDGES
• SHORTFALL RISK
• HEDGING
• LOWER PARTIAL MOMENTS
• LOSS FUNCTION
• FINANCIAL MARKET

All Related Versions

• Version 1, RePEc (Unconfirmed version)