currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …. The different estimators are compared with profit based criteria. -- exchange rates ; mean-variance hedging ; adaptive …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … risk …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined …

future nominal values via a cost of living index is an appropriate way to handle the problem of real income risk. Nonetheless … rational individual always voluntarily purchase protection against such risk? A model is developed to shed some light on this … aspect. It shows that the optimal behaviour depends - as expected - on the cost of protection and the risk preferences of the …

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not …

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …

; monetary policy instruments of the ECB ; interest rate risk …