Gespeichert in:
| 1. Verfasser: | |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2407.03431 |
| Tags: |
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Inhaltsangabe:
- 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.