Efficient hedging with coherent risk measure

Journal of Mathematical Analysis and Applications

Volumn 293, Issue 1, 2004, Pages 345-354

  Nakano, Yumiharu ^a  

^a HOKKAIDO UNIVERSITY   (Japan)

Author keywords

Coherent risk measure; Efficient hedging; Hedging; Neyman Pearson lemma; Randomized test; Shortfall risk; Worst conditional expectation

Indexed keywords

EID: 2342481263     PISSN: 0022247X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmaa.2004.01.010     Document Type: Article

References (7)

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5. A. Inoue, On the worst conditional expectation, preprint.
6. S. Kusuoka, On law invariant coherent risk measures, preprint.
7. L. Schmetterer, Introduction to Mathematical Statistics, Springer-Verlag, New York, 1974.