Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101010
Authors: 
Assa, Hirbod
Gospodinov, Nikolay
Year of Publication: 
2014
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2014-13
Abstract: 
This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies for a wide family of risk measures and pricing rules, which are possibly non-convex. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.
Subjects: 
imperfect markets
risk measures
hedging
pricing rule
quantile regression
JEL: 
G11
G13
C22
E44
Document Type: 
Working Paper

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