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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 2, Pages 409–418
DOI: https://doi.org/10.4213/tvp64 (Mi tvp64) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Short Communications

Risk averse asymptotics and the optional decomposition

P. Granditsa, Ch. Summerb

a Vienna University of Technology
b Institut für Kreditwirtschaft
Full-text PDF (1211 kB) Citations (3)
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DOI: https://doi.org/10.4213/tvp64
Abstract: We consider the problem of maximizing expected utility for a general utility function on $\textbf R$ when the agent becomes increasingly risk averse. The limiting strategy will be shown to be a special, unique superhedging strategy, the so-called balanced strategy. The connections to the optional decomposition and the class of minimal hedging strategies described in [D. O. Kramkov, Probab. Theory Related Fields, 105 (1996), pp. 459–479] are examined.
Keywords: hedging, exponential utility, risk aversion, optional decomposition.
Received: 14.07.2003
Revised: 01.02.2005
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 2, Pages 325–334
DOI: https://doi.org/10.1137/S0040585X97982384
Bibliographic databases:
Document Type: Article
Language: English
Citation: P. Grandits, Ch. Summer, “Risk averse asymptotics and the optional decomposition”, Teor. Veroyatnost. i Primenen., 51:2 (2006), 409–418; Theory Probab. Appl., 51:2 (2007), 325–334
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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