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arXiv · 2407.03431

Optimal hedging with variational preferences under convex risk measures

Marcelo Righi
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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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Marcelo Righi. 2024-10-10. Optimal hedging with variational preferences under convex risk measures. https://arxiv.org/abs/2407.03431

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