Hedging Conditional Value at Risk with options

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.

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Year of publication:	2015
Authors:	Capiński, Maciej J.
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 242.2015, 2, p. 688-691
Publisher:	Elsevier
Subject:	Conditional Value at Risk \| Expected Shortfall \| Measures of risk \| Risk management

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011190786