VaR-based optimal partial hedging

DOI10.1017/ASB.2013.19MaRDI QIDQ5398352zbMATH OpenOpenAlexFDO

Authors Jianfa Cong, Ken Seng Tan, Chengguo Weng

Publication date 27 February 2014

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2013.19

zbMATH Keywords

quantile hedgingvalue-at-riskpartial hedgingoptimal strategybull call spreadknock-out call

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Convex Hedging in Incomplete Markets
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Dynamic hedging of conditional value-at-risk
• Efficient hedging with coherent risk measure
• Efficient hedging: cost versus shortfall risk
• Maximizing the probability of a perfect hedge
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance with general premium principles
• Optimality of general reinsurance contracts under CTE risk measure
• Quantile hedging
• Quantile hedging and its application to life insurance
• Quantile hedging for equity-linked contracts
• Quantile hedging for guaranteed minimum death benefits
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(15)

• CVaR-minimising hedging by a smoothing method
• Expected shortfall and optimal hedging payoff
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• An optimal multi-step quadratic risk-adjusted hedging strategy
• The perturbation method applied to a robust optimization problem with constraint
• Quantile hedging
• Optimal hedging with variational preferences under convex risk measures
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Methods of partial hedging
• Price index insurances in the agriculture markets
• Partial super-hedging of derivatives with model risk
• Efficient hedging in general Black-Scholes model
• Quantile hedging pension payoffs: an analysis of investment incentives
• Variance-optimal hedging for target volatility options
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies

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