Conditional Dominance Criteria: Definition and Application to Risk-Management.

We define the concept of conditional dominance and use it for the obtention of bounds on the edging prices of random variables. These bounds depend only on the characteristics of the financial market and the random variables to hedge. Moreover, they are coherent with equilibrium and tighter than the ones obtained by the classical super-replication approcah, significantly in some cases. This approach can be applied in static as well as dynamic frameworks.

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Year of publication:	1999
Authors:	Deelstra, G. ; Grasselli, M. ; Koehl, P.-F.
Subject:	MARKETS STRUCTURES \| RISK \| STOCHASTIC PROCESS

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Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	G12 - Asset Pricing ; D52 - Incomplete Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005640988