Optimal hedging with variational preferences under convex risk measures
Mathematical Finance
2024-10-11 v2
Abstract
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.
Keywords
Cite
@article{arxiv.2407.03431,
title = {Optimal hedging with variational preferences under convex risk measures},
author = {Marcelo Righi},
journal= {arXiv preprint arXiv:2407.03431},
year = {2024}
}