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Minimizing shortfall risk for multiple assets derivatives
shortfall risk multiple assets options correlated assets quantile hedging
2011/3/23
The risk minimizing problem $\mathbf{E}[l((H-X_T^{x,\pi})^{+})]\overset{\pi}{\longrightarrow}\min$ in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk fun...