Risk Adjusted Dynamic Hedging Strategies

Martin Harcek ()
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Martin Harcek: Comenius University, Dep. of Applied Mathematics and Statistics, Faculty of Mathematics, Physics and Informatics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 117-120 from Springer

Abstract: Abstract The aim of the paper is to develop a dynamic portfolio hedging strategy leading to an optimal wealth policy in a finite investment horizon while obeying a risk constraint. The utility maximization problem is restricted by an upper bound applied on the Conditional Value-at-Risk (CVaR) measure. We investigate the strategy dynamics and properties in terms of the desired wealth distribution and risky assets exposure.

Keywords: Dynamic strategy; Conditional Value-at-Risk; Complete market (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_27

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DOI: 10.1007/978-3-319-05014-0_27

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