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Risk Adjusted Dynamic Hedging Strategies

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

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  • Martin Harcek

    (Comenius University, Dep. of Applied Mathematics and Statistics, Faculty of Mathematics, Physics and Informatics)

Abstract

The aim of the paper is to develop a dynamic portfolio hedging strategy leading to an optimal wealth policy in a finite investment horizon while obeying a risk constraint. The utility maximization problem is restricted by an upper bound applied on the Conditional Value-at-Risk (CVaR) measure. We investigate the strategy dynamics and properties in terms of the desired wealth distribution and risky assets exposure.

Suggested Citation

  • Martin Harcek, 2014. "Risk Adjusted Dynamic Hedging Strategies," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 117-120, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_27
    DOI: 10.1007/978-3-319-05014-0_27
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