This study develops a global derivatives hedging methodology which takes into account the
presence of transaction costs. It extends the Hodges and Neuberger [Rev. Futures Markets …

The paper deals with optimal portfolio choice problems when risk levels are given by
coherent risk measures, expectation bounded risk measures or general deviations. Both …

The optimal reinsurance problem is a classic topic in actuarial mathematics. Recent
approaches consider a coherent or expectation bounded risk measure and minimize the …

The objective of this paper is twofold. On the one hand, the optimal combination of
reinsurance and financial investment will be studied under a general framework. Indeed …

In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR)
criteria of the possibly unbounded L 1-costs in infinite horizon on a Markov Decision Process …

In this paper, we study market consistent valuations in imperfect markets. In the first part of
the paper, we observe that in an imperfect market one needs to distinguish two type of …

We use one-step conditional risk mappings to formulate a risk averse version of a total cost
problem on a controlled Markov process in discrete time infinite horizon. The nonnegative …

We expose a theoretical hedging optimization framework with variational preferences under
convex risk measures. We explore a general dual representation for the composition …

Abstract This work studies Good Deals in a scenario in which a firm uses decision-making
tools based on a coherent risk measure, and in which the market prices are determined with …

In this paper, we will describe a framework that allows us to connect the problem of hedging
a portfolio in finance to the existence of Pareto optimal allocations in economics. We will …