Hedging Conditional Value at Risk with options

Maciej J. Capiński

European Journal of Operational Research, 2015, vol. 242, issue 2, 688-691

Abstract: We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.

Keywords: Conditional Value at Risk; Expected Shortfall; Measures of risk; Risk management (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:242:y:2015:i:2:p:688-691

DOI: 10.1016/j.ejor.2014.11.011

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