Minimizing CVaR in global dynamic hedging with transaction costs

DOI10.1080/14697688.2015.1054865zbMath1465.91114OpenAlexW2287191446MaRDI QIDQ5001143

Frédéric Godin

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1054865

zbMATH Keywords

dynamic programminghedgingtransaction costsrisk measuresconditional value-at-risktail value-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Tail-risk protection trading strategies, INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH, LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK, Dynamic hedging for the real option management of hydropower production with exchange rate risks, Controlled Markov decision processes with AVaR criteria for unbounded costs, Robust optimal control using conditional risk mappings in infinite horizon, Deep hedging of long-term financial derivatives, Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR, Equal risk pricing of derivatives with deep hedging

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