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 …

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 …

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …

currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine … a self-financed optimal investment strategy which minimizes an expected quadratic cost function. In order to implement … such a strategy an estimate of the basket weights is required. To this end we suggest an adaptive nonparametric procedure …