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Neyman-Pearson Hedging and Dynamic Measures of Risk

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  • Kohlmann, Michael

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.

Suggested Citation

  • Kohlmann, Michael, 2000. "Neyman-Pearson Hedging and Dynamic Measures of Risk," CoFE Discussion Papers 00/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0011
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