Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives over One Time Step in the Presence of General Transaction Cost. A Summary for Derivative Quants-Reference-Cited by-同舟云学术

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Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives over One Time Step in the Presence of General Transaction Cost. A Summary for Derivative Quants

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Buehler Hans

Publisher

Elsevier BV

Reference16 articles.

1. Minimizing CVaR and VaR for a portfolio of derivatives;Coleman Alexander;Journal of Banking & Finance,2006

2. Coherent Measures of Risk;Delbaen Artzner;Mathematical Finance,1999

3. An old-new concept of convex risk measures: The optimized certainty equivalent;Teboulle Ben-Tal;Mathematical Finance, Issue,2007

4. Expected utility, penalty functions and duality in stochastic nonlinear programming;Teboulle Ben-Tal;Management Science,1986

5. Volatility Markets: Consistent Modelling, Hedging and Practical Implementation (Dissertation)

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