Articles with "hedging incomplete" as a keyword



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Robust hedging in incomplete markets

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Published in 2018 at "Journal of Pension Economics and Finance"

DOI: 10.1017/s1474747218000069

Abstract: Abstract We considered a pension fund that needs to hedge uncertain long-term liabilities. We modeled the pension fund as a robust investor facing an incomplete market and fearing model uncertainty for the evolution of its… read more here.

Keywords: robust hedging; pension; incomplete markets; finance ... See more keywords