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 …

optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio …

The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain a risk …-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation …

optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio …

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 …

This paper proposes a robust 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 … proposed theoretical approach are illustrated with an application on hedging economic risk. …

This paper proposes a robust 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 … proposed theoretical approach are illustrated with an application on hedging economic risk. …