{"paper":{"title":"The robust superreplication problem: a dynamic approach","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Jan Obloj, Johannes Wiesel, Laurence Carassus","submitted_at":"2018-12-28T19:29:21Z","abstract_excerpt":"In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\\xi$ in a risk-conservative way relative to a family of probability measures $\\mathcal{P}$. We first describe the evolution of $\\pi_t(\\xi)$ - the superhedging price at time $t$ of the liability $\\xi$ at maturity $T$ - via a dynamic programming principle and show that $\\pi_t(\\xi)$ can be seen as a concave envelope of $\\pi_{t+1}(\\xi)$ evaluated at today's prices. Then we consider an optimal investme"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1812.11201","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}