Posted: 14 Dec 1999
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.
JEL Classification: G10, G12, G13, D81
Suggested Citation: Suggested Citation
Follmer, Hans and Leukert, Peter, Quantile Hedging. Available at SSRN: https://ssrn.com/abstract=164811
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