Neyman-Pearson Hedging and Dynamic Measures of Risk

Michael Kohlmann

No 00/11, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use of results from bsde theory.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0011

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