FÃllmer, Hans; Leukert, Peter - In: Finance and Stochastics 4 (2000) 2, pp. 117-146
An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is often quite expensive, we study partial hedges which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...