04
NOV
2019
14:15
- 15:45
IWH Research Seminar
When Subadditivity Becomes a Problem: Coherent Risk Measures and Optimal Futures Hedging with Background Risk
Who
Mario Brandtner
(Friedrich-Schiller-Universität Jena)
Where
IWH conferene room, Leipziger Straße 100
In this paper, we analyze standard futures hedging problems with and without background risk under law invariant coherent
risk measures.