Dynamic hedging of conditional value-at-risk

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• 作者：Alexander Melnikov ; ^{melnikov@ualberta.ca} ; Ivan Smirnov ^{smirnov@ualberta.ca}
• 关键词：IB10
• 刊名：Insurance ; Mathematics and Economics
• 出版年：2012
• 期刊代码：25_01676687
• 类别：mt
• 出版时间：July, 2012
• 卷：51
• 期：1
• 页码：182-190
• 文件大小：357 K

摘要

In this paper, the problem of partial hedging is studied by constructing hedging strategies that minimize conditional value-at-risk (CVaR)聽of the portfolio. Two dual versions of the problem are considered: minimization of CVaR with the initial wealth bounded from above, and minimization of hedging costs subject to a CVaR constraint. The Neyman-Pearson lemma approach is used to deduce semi-explicit solutions. Our results are illustrated by constructing CVaR-efficient hedging strategies for a call option in the Black-Scholes model and also for an embedded call option in an equity-linked life insurance contract.