2 papers
q-fin.MF2024
Optimal hedging with variational preferences under convex risk measures
Marcelo Righi
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between…
q-fin.RM2024
Star-shaped acceptability indexes
Marcelo Brutti Righi
We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-…