04
14:15 - 15:45
IWH Research Seminar
NOV
2019
14:15 - 15:45
When Subadditivity Becomes a Problem: Coherent Risk Measures and Optimal Futures Hedging with Background Risk
In this paper, we analyze standard futures hedging problems with and without background risk under law invariant coherent risk measures.
Who
(Friedrich Schiller University Jena)
Where
Personal details
PD Dr Mario Brandtner is scientific Assistant at the Chair of Finance, Banking and Risk Management at the Friedrich Schiller University Jena.
Whom to contact
Internal and External Communications
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+49 345 7753-850 Request per E-Mail
