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Optimal hedging with variational preferences under convex risk measures

Published 3 Jul 2024 in q-fin.MF | (2407.03431v2)

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.

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Authors (1)

  1. Marcelo Righi 

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