Hedging strategies for European contingent claims with the minimum shortfall risk criterion
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DOI: 10.1080/09720502.2017.1355510
Abstract: Abstract This paper studied the optimal self-financing hedging strategies under the minimum shortfall risk criterion. By virtue of the Monte Carlo simulation, thousands of the underlying asset’s price paths are generated and the expected shortfall… read more here.
Keywords: risk; minimum shortfall; hedging strategies; risk criterion ... See more keywords