Hedging under multiple risk constraints

DOI10.1007/S00780-017-0326-6zbMATH Open1360.91136arXiv1309.5094OpenAlexW2254756147MaRDI QIDQ522054FDOQ522054

Authors: Ying Jiao, Olivier Klopfenstein, Peter Tankov 

Publication date: 13 April 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1309.5094

Recommendations

• On the shortfall risk control: a refinement of the quantile hedging method
• A framework for dynamic hedging under convex risk measures
• Efficient hedging with coherent risk measure
• Efficient hedging: cost versus shortfall risk
• Dynamic utility maximization with bounded shortfall risks

zbMATH Keywords

dynamic programmingSnell envelopeasset-liability managementshortfall riskmultiple risk constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

• Quantile hedging
• Stochastic target problems with controlled loss
• Efficient hedging: cost versus shortfall risk
• Stochastic finance. An introduction in discrete time
• Stochastic target games with controlled loss
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Optimal portfolio management with American capital guarantee
• A stochastic target approach for P\&L matching problems
• Robust utility maximization with limited downside risk in incomplete markets
• Dynamic asset liability management with tolerance for limited shortfalls

Cited In (6)

• Tractable hedging with additional hedge instruments
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
• Title not available (Why is that?)
• Statistical learning for probability-constrained stochastic optimal control
• A backward dual representation for the quantile hedging of Bermudan options
• Dual representation of the cost of designing a portfolio satisfying multiple risk constraints

This page was built for publication: Hedging under multiple risk constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q522054)