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• W2141760111 abstract "This paper gives an overview of the results and developments in the area of hedging contingent claims in an incomplete market. We study three hedging criteria. We first present the superhedging approach. We then study the mean-variance criterion and finally, we describe the shortfall risk minimization problem. From a mathematical viewpoint, these optimization problems lead to nonstandard stochastic control problems in PDE and new variants of decomposition theorems in stochastic analysis." @default.
• W2141760111 created "2016-06-24" @default.
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• W2141760111 date "1999-01-01" @default.
• W2141760111 modified "2023-09-25" @default.
• W2141760111 title "Hedging and Optimization Problems in Continuous-Time Financial Models" @default.
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