Optimal hedging with variational preferences under convex risk measures
提出了一个在凸风险度量下考虑变分偏好的对冲优化理论框架，研究了风险度量与效用组合的对偶表示，并推导了最优性和无差异定价条件。
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the optimization problem as a convex and monotone map per se. We also derive results for optimality and indifference pricing conditions. We also explore particular examples inside our setup.