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Skip to Search Results- 2Neyman-Pearson lemma
- 1CVaR
- 1Capital constraints
- 1Conditional value-at-risk
- 1Dynamic hedging
- 1Expected Shortfall
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Spring 2013
Imposing constraints on the class of the available self-financing strategies may eliminate the possibility of using replicating or superhedging strategies, which leads to the problem of partial hedging. In the present work, the partial hedging problem is investigated from the viewpoint of the...
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Fall 2018
The thesis deals with the problem of minimization of Conditional Value at Risk within the context of Margrabe market under constraints on the initial capital available. We propose to approximate the distribution of the difference between two lognormal random variables using normal distribution...