This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into … hedging can be decreased by following the robust strategy …

explicit optimal portfolios or hedging strategies under realistic assumptions …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into … hedging can be decreased by following the robust strategy …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …