Abstract.
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.
Article PDF
Similar content being viewed by others
Avoid common mistakes on your manuscript.
Author information
Authors and Affiliations
Additional information
Manuscript received: January 1998; final version received: August 1998
Rights and permissions
About this article
Cite this article
Föllmer, H., Leukert, P. Quantile hedging. Finance Stochast 3, 251–273 (1999). https://doi.org/10.1007/s007800050062
Issue Date:
DOI: https://doi.org/10.1007/s007800050062