Hedging, Pareto Optimality, and Good Deals

Hirbod Assa () and Keivan Mallahi Karai ()
Additional contact information
Hirbod Assa: Concordia University
Keivan Mallahi Karai: Jacobs University

Journal of Optimization Theory and Applications, 2013, vol. 157, issue 3, No 18, 900-917

Abstract: Abstract In this paper, we will describe a framework that allows us to connect the problem of hedging a portfolio in finance to the existence of Pareto optimal allocations in economics. We will show that the solvability of both problems is equivalent to the No Good Deals assumption. We will then analyze the case of co-monotone additive monetary utility functions and risk measures.

Keywords: Hedging; Pareto optimality; Good deals; Co-monotone additive; Capacity (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1007/s10957-012-0209-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:157:y:2013:i:3:d:10.1007_s10957-012-0209-0

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1007/s10957-012-0209-0

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().