Local expected shortfall-hedging in discrete time

European Finance Review

Volumn 7, Issue 1, 2003, Pages 75-102

  Schulmerich, Marco ^a   Trautmann, Siegfried ^b  

^a Barra International   (Germany)

^b JOHANNES GUTENBERG UNIVERSITY   (Germany)

Author keywords

Coherent risk measures; Expected shortfall; Hedging; Myopic hedging strategies; Self financing strategies; Superhedging

Indexed keywords

EID: 4043070533     PISSN: 13826662     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1022506825795     Document Type: Conference Paper

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