Hedging Conditional Value at Risk with Options
Risk Management
2015-04-14 v2 Optimization and Control
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.
Cite
@article{arxiv.1408.6673,
title = {Hedging Conditional Value at Risk with Options},
author = {Maciej J. Capiński},
journal= {arXiv preprint arXiv:1408.6673},
year = {2015}
}
Comments
10 pages, 0 figures