Efficient hedging: Cost versus shortfall risk
Year of publication: |
2000-02-10
|
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Authors: | FÃllmer, Hans ; Leukert, Peter |
Published in: |
Finance and Stochastics. - Springer. - Vol. 4.2000, 2, p. 117-146
|
Publisher: |
Springer |
Subject: | Hedging | shortfall risk | efficient hedges | risk management | lower partial moments | convex duality | stochastic volatility |
Extent: | application/pdf |
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Type of publication: | Article |
Notes: | received: November 1998; final version received: March 1999 |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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Efficient hedging: Cost versus shortfall risk
Föllmer, Hans, (1999)
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Efficient hedging: Cost versus shortfall risk
Föllmer, Hans, (1999)
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Föllmer, Hans, (1998)
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FÃllmer, Hans, (1999)
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Föllmer, Hans, (1998)
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Efficient hedging: Cost versus shortfall risk
Föllmer, Hans, (1999)
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