Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/101010 
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 2014-13
Publisher: 
Federal Reserve Bank of Atlanta, Atlanta, GA
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

Files in This Item:
File
Size
278.66 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.