Hedging under multiple risk constraints

Ying Jiao, Olivier Klopfenstein and Peter Tankov

Papers from arXiv.org

Abstract: Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the expected shortfall with respect to each of the benchmarks weighted by this loss function must remain bounded by a given threshold. We consider different alternative formulations of this problem in a complete market setting, establish the relationship between these formulations, present a general resolution methodology via dynamic programming in a non-Markovian context and give explicit solutions in special cases.

Date: 2013-09
New Economics Papers: this item is included in nep-fmk, nep-lam, nep-ltv, nep-neu and nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.5094

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