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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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