Solving the problem of partial hedging through a dual problem
https://doi.org/10.22405/2226-8383-2023-24-3-26-41
Abstract
In this paper we consider the problem of partial hedging studied in [20]. In this problem, the risk of shortfall is estimated using a robust convex loss functional 𝐿(·). In our work, we formulate a dual problem different from the dual problem in [20], we prove the absence of a
duality gap, and also the existence of a solution to the primal and dual problems. In addition, we obtain the results of [20] under weaker assumptions using an approach related to the application of theorems of convex analysis.
About the Author
Sergey Sergeevich Leshchenko
Specialized Educational and Scientific Center – A. N. Kolmogorov boarding School of Lomonosov Moscow State University
Russian Federation
Russian Federation
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Review
For citations:
Leshchenko S.S. Solving the problem of partial hedging through a dual problem. Chebyshevskii Sbornik. 2023;24(3):26-41. (In Russ.) https://doi.org/10.22405/2226-8383-2023-24-3-26-41
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