{"id":"https://openalex.org/W3099784660","doi":"https://doi.org/10.1007/s00186-017-0588-y","title":"Hedging under generalized good-deal bounds and model uncertainty","display_name":"Hedging under generalized good-deal bounds and model uncertainty","publication_year":2017,"publication_date":"2017-05-22","ids":{"openalex":"https://openalex.org/W3099784660","doi":"https://doi.org/10.1007/s00186-017-0588-y","mag":"3099784660"},"language":"en","primary_location":{"id":"doi:10.1007/s00186-017-0588-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-017-0588-y","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1607.04488","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Dirk Becherer","orcid":"https://orcid.org/0000-0001-9500-8408"},"institutions":[{"id":"https://openalex.org/I39343248","display_name":"Humboldt-Universit\u00e4t zu Berlin","ror":"https://ror.org/01hcx6992","country_code":"DE","type":"education","lineage":["https://openalex.org/I39343248"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Dirk Becherer","raw_affiliation_strings":["Institut f\u00fcr Mathematik, Humboldt-Universit\u00e4t, Unter den Linden 6, 10099, Berlin, Germany"],"raw_orcid":"https://orcid.org/0000-0001-9500-8408","affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Mathematik, Humboldt-Universit\u00e4t, Unter den Linden 6, 10099, Berlin, Germany","institution_ids":["https://openalex.org/I39343248"]}]},{"author_position":"last","author":{"id":null,"display_name":"Klebert Kentia","orcid":null},"institutions":[{"id":"https://openalex.org/I114090438","display_name":"Goethe University Frankfurt","ror":"https://ror.org/04cvxnb49","country_code":"DE","type":"education","lineage":["https://openalex.org/I114090438"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Klebert Kentia","raw_affiliation_strings":["Institut f\u00fcr Mathematik, Goethe-Universit\u00e4t, Fach 187, 60054, Frankfurt am Main, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Mathematik, Goethe-Universit\u00e4t, Fach 187, 60054, Frankfurt am Main, Germany","institution_ids":["https://openalex.org/I114090438"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I39343248"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.687,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.78008596,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"86","issue":"1","first_page":"171","last_page":"214"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8493000268936157,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8493000268936157,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.05490000173449516,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.010599999688565731,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/girsanov-theorem","display_name":"Girsanov theorem","score":0.8996000289916992},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5601999759674072},{"id":"https://openalex.org/keywords/minification","display_name":"Minification","score":0.5304999947547913},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4846999943256378},{"id":"https://openalex.org/keywords/constructive","display_name":"Constructive","score":0.45899999141693115},{"id":"https://openalex.org/keywords/property","display_name":"Property (philosophy)","score":0.45170000195503235},{"id":"https://openalex.org/keywords/risk-neutral-measure","display_name":"Risk-neutral measure","score":0.41269999742507935},{"id":"https://openalex.org/keywords/incomplete-markets","display_name":"Incomplete markets","score":0.36230000853538513},{"id":"https://openalex.org/keywords/reduction","display_name":"Reduction (mathematics)","score":0.35749998688697815}],"concepts":[{"id":"https://openalex.org/C104824951","wikidata":"https://www.wikidata.org/wiki/Q830124","display_name":"Girsanov theorem","level":3,"score":0.8996000289916992},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.564300000667572},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5601999759674072},{"id":"https://openalex.org/C147764199","wikidata":"https://www.wikidata.org/wiki/Q6865248","display_name":"Minification","level":2,"score":0.5304999947547913},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4846999943256378},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4681999981403351},{"id":"https://openalex.org/C2778701210","wikidata":"https://www.wikidata.org/wiki/Q28130034","display_name":"Constructive","level":3,"score":0.45899999141693115},{"id":"https://openalex.org/C189950617","wikidata":"https://www.wikidata.org/wiki/Q937228","display_name":"Property (philosophy)","level":2,"score":0.45170000195503235},{"id":"https://openalex.org/C85106312","wikidata":"https://www.wikidata.org/wiki/Q1058362","display_name":"Risk-neutral measure","level":2,"score":0.41269999742507935},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4081000089645386},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.38449999690055847},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3833000063896179},{"id":"https://openalex.org/C109354906","wikidata":"https://www.wikidata.org/wiki/Q6015174","display_name":"Incomplete markets","level":2,"score":0.36230000853538513},{"id":"https://openalex.org/C111335779","wikidata":"https://www.wikidata.org/wiki/Q3454686","display_name":"Reduction (mathematics)","level":2,"score":0.35749998688697815},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.3547999858856201},{"id":"https://openalex.org/C118733216","wikidata":"https://www.wikidata.org/wiki/Q332504","display_name":"Absolute continuity","level":2,"score":0.3400999903678894},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.33660000562667847},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.3325999975204468},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.31779998540878296},{"id":"https://openalex.org/C21031990","wikidata":"https://www.wikidata.org/wiki/Q355020","display_name":"Probability measure","level":2,"score":0.2856000065803528},{"id":"https://openalex.org/C4530962","wikidata":"https://www.wikidata.org/wiki/Q777407","display_name":"Closed-form expression","level":2,"score":0.2809000015258789},{"id":"https://openalex.org/C32230216","wikidata":"https://www.wikidata.org/wiki/Q7882499","display_name":"Uncertainty quantification","level":2,"score":0.27959999442100525},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.27480000257492065},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.26759999990463257},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.26159998774528503},{"id":"https://openalex.org/C109271563","wikidata":"https://www.wikidata.org/wiki/Q7451830","display_name":"Separation property","level":5,"score":0.2615000009536743},{"id":"https://openalex.org/C2778025262","wikidata":"https://www.wikidata.org/wiki/Q28406324","display_name":"Functional differential equation","level":3,"score":0.2574000060558319},{"id":"https://openalex.org/C64112148","wikidata":"https://www.wikidata.org/wiki/Q160151","display_name":"Market price","level":2,"score":0.2535000145435333},{"id":"https://openalex.org/C160471959","wikidata":"https://www.wikidata.org/wiki/Q17082552","display_name":"Mutual fund separation theorem","level":3,"score":0.2515000104904175},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.25040000677108765}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00186-017-0588-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-017-0588-y","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1607.04488","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1607.04488","pdf_url":"https://arxiv.org/pdf/1607.04488","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00186-017-0588-y","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1607.04488","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1607.04488","pdf_url":"https://arxiv.org/pdf/1607.04488","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3099784660.pdf","grobid_xml":"https://content.openalex.org/works/W3099784660.grobid-xml"},"referenced_works_count":44,"referenced_works":["https://openalex.org/W72386360","https://openalex.org/W1490376211","https://openalex.org/W1493238038","https://openalex.org/W1557742345","https://openalex.org/W1565930531","https://openalex.org/W1599241267","https://openalex.org/W1948872067","https://openalex.org/W1984328418","https://openalex.org/W1986242012","https://openalex.org/W2004220372","https://openalex.org/W2023991402","https://openalex.org/W2028548809","https://openalex.org/W2036709538","https://openalex.org/W2039915043","https://openalex.org/W2042364556","https://openalex.org/W2045296711","https://openalex.org/W2048355447","https://openalex.org/W2052438825","https://openalex.org/W2052855777","https://openalex.org/W2057609912","https://openalex.org/W2058297600","https://openalex.org/W2063687989","https://openalex.org/W2064978316","https://openalex.org/W2067477904","https://openalex.org/W2069107031","https://openalex.org/W2069326331","https://openalex.org/W2078895915","https://openalex.org/W2087431015","https://openalex.org/W2132213310","https://openalex.org/W2134900760","https://openalex.org/W2138765659","https://openalex.org/W2144635872","https://openalex.org/W2157883119","https://openalex.org/W2176867255","https://openalex.org/W2240612422","https://openalex.org/W2890406305","https://openalex.org/W3021593604","https://openalex.org/W3121811058","https://openalex.org/W3122520781","https://openalex.org/W3123979826","https://openalex.org/W3124539603","https://openalex.org/W4244967830","https://openalex.org/W4249667877","https://openalex.org/W4301021743"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-07-03T08:13:44.112507","created_date":"2020-11-23T00:00:00"}