Optimal hedging with variational preferences under convex risk measures
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866910643255246848 |
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| author | Righi, Marcelo |
| author_facet | Righi, Marcelo |
| contents | We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the optimization problem as a convex and monotone map per se. We also derive results for optimality and indifference pricing conditions. We also explore particular examples inside our setup. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_03431 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal hedging with variational preferences under convex risk measures Righi, Marcelo Mathematical Finance We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the optimization problem as a convex and monotone map per se. We also derive results for optimality and indifference pricing conditions. We also explore particular examples inside our setup. |
| title | Optimal hedging with variational preferences under convex risk measures |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2407.03431 |