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• W2007171489 abstract "We study the problem of minimizing the expected discounted loss $$ Eleft[e^{-int_0^Tr(u)du}( C- X^{x,pi}(T))^+right] $$ when hedging a liability C at time t=T, using an admissible portfolio strategy $pi(cdot)$ and starting with initial wealth x. The existence of an optimal solution is established in the context of continuous-time Ito process incomplete market models, by studying an appropriate dual problem. It is shown that the optimal strategy is of the form of a knock-out option with payoff C, where the domain of the knock-out depends on the value of the optimal dual variable. We also discuss a dynamic measure for the risk associated with the liability C, defined as the supremum over different scenarios of the minimal expected loss of hedging C." @default.
• W2007171489 created "2016-06-24" @default.
• W2007171489 creator A5003629161 @default.
• W2007171489 date "2000-01-01" @default.
• W2007171489 modified "2023-10-11" @default.
• W2007171489 title "Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets" @default.
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• W2007171489 doi "https://doi.org/10.1137/s036301299834185x" @default.
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