Hedging Conditional Value at Risk with Options

Maciej J. Capi\'nski

Papers from arXiv.org

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.

Date: 2014-08, Revised 2015-04
New Economics Papers: this item is included in nep-rmg
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Published in European Journal of Operational Research 242 (2015) 688-691

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