Geodesic
Risk averse asymptotics and the optional decomposition
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 2, pp. 409-418

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We consider the problem of maximizing expected utility for a general utility function on $\textbf R$ when the agent becomes increasingly risk averse. The limiting strategy will be shown to be a special, unique superhedging strategy, the so-called balanced strategy. The connections to the optional decomposition and the class of minimal hedging strategies described in [D. O. Kramkov, Probab. Theory Related Fields, 105 (1996), pp. 459–479] are examined.
Keywords: hedging, exponential utility, risk aversion
Mots-clés : optional decomposition. 
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     author = {P. Grandits and Ch. Summer},
     title = {Risk averse asymptotics and the optional decomposition},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     volume = {51},
     number = {2},
     year = {2006},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2006_51_2_a11/}
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P. Grandits; Ch. Summer. Risk averse asymptotics and the optional decomposition. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 2, pp. 409-418. http://geodesic.mathdoc.fr/item/TVP_2006_51_2_a11/