{"title":"Optimal hedging with variational preferences under convex risk measures","authors":"Marcelo Righi","doi":"arxiv-2407.03431","DOIUrl":null,"url":null,"abstract":"We expose a theoretical hedging optimization framework with variational\npreferences under convex risk measures. We explore a general dual\nrepresentation for the composition between risk measures and utilities. We\nstudy the properties of the optimization problem as a convex and monotone map\nper se. We also derive results for optimality and indifference pricing\nconditions. We also explore particular examples inside our setup.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2407.03431","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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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