Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61739
Authors: 
Föllmer, Hans
Leukert, Peter
Year of Publication: 
1999
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,18
Abstract: 
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal probability, given a capital constraint. Here we look for strategies which minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient hedges allow the investor to interpolate in a systematic way between the extremes of no hedge and a perfect (super-)hedge, depending on the accepted level of shortfall risk.
Subjects: 
risk management
stochastic volatility
shortfall risk
Hedging
efficient hedges
lower partial moments
convex duality
JEL: 
G10
G12
G13
D81
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
326.77 kB





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