Stutzer, Michael - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 15, pp. 3177-3182
The criterion of minimizing the cumulative hedged returns’ probability of underperforming a benchmark provides a framework for evaluating short-term hedges that are rolled over to produce longer-term hedges. Large deviations theory can be used to either parametrically or nonparametrically...