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The minimal risk of hedging with a convex risk measure

  • Umezawa Y
Springer Japan, (2007), 109-116
DOI: 10.1007/4-431-34342-3_7
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Abstract

We study the minimal hedging risk for a bounded European contingent claim when we use a convex risk measure. We find the infimum of hedging risk by using a kind of min-max theorem. Also we show that this infimum is again regarded as a convex risk measure.

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APA

Umezawa, Y. (2007). The minimal risk of hedging with a convex risk measure. In Advances in Mathematical Economics (pp. 109–116). Springer Japan. https://doi.org/10.1007/4-431-34342-3_7

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