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~person:"Kallsen, Jan"
~person:"Engle, Robert F."
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Hedging
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Kallsen, Jan
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ECONIS (ZBW)
41
RePEc
4
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1
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45
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date (oldest first)
1
Numeraire-invariant quadratic
hedging
and mean-variance portfolio allocation
Černý, Aleš
;
Czichowsky, Christoph
;
Kallsen, Jan
- In:
Mathematics of operations research
49
(
2024
)
2
,
pp. 752-781
Persistent link: https://www.econbiz.de/10014564364
Saved in:
2
Hedging
in Lévy models and the time step equivalent of jumps
Černý, Aleš
;
Denkl, Stephan
;
Kallsen, Jan
-
2021
We show that the option
hedging
risk of an optimal, continuously rebalanced
hedging
strategy in an exponential Lévy … additionally performed for some popular suboptimal
hedging
strategies, with the same conclusion …
Persistent link: https://www.econbiz.de/10013313919
Saved in:
3
Numeraire-Invariant Quadratic
Hedging
and Mean-Variance Portfolio Allocation
Černý, Aleš
;
Czichowsky, Christoph
;
Kallsen, Jan
-
2021
The paper investigates quadratic
hedging
in a general semimartingale market that does not necessarily contain a risk …-free asset. An equivalence result for
hedging
with and without numeraire change is established. This permits direct computation …
Persistent link: https://www.econbiz.de/10013323064
Saved in:
4
What are the events that shake our world? : measuring and
hedging
global COVOL
Engle, Robert F.
;
Campos-Martins, Susana
- In:
Journal of financial economics
147
(
2023
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10013546063
Saved in:
5
Measuring and
Hedging
Geopolitical Risk
Engle, Robert F.
-
2020
Geopolitical events can impact volatilities of all assets, asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We introduce a definition of geopolitical risk which is...
Persistent link: https://www.econbiz.de/10012824075
Saved in:
6
Mean-Variance
Hedging
and Optimal Investment in Heston's Model with Correlation
Černý, Aleš
-
2020
This paper solves the mean-variance
hedging
problem in Heston's model with a stochastic opportunity set moving … derive formulas for the
hedging
strategy and the
hedging
error …
Persistent link: https://www.econbiz.de/10012705869
Saved in:
7
Hedging
Climate Change News
Engle, Robert F.
-
2019
. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
innovations … in climate news both in-sample and out-of-sample. The resulting hedge portfolios outperform alternative
hedging
…
Persistent link: https://www.econbiz.de/10012889045
Saved in:
8
Hedging
Climate Change News
Engle, Robert F.
-
2019
show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
innovations in … climate news both in sample and out of sample. The resulting hedge portfolios outperform alternative
hedging
strategies based …
Persistent link: https://www.econbiz.de/10012894717
Saved in:
9
Hedging
Climate Change News
Engle, Robert F.
-
2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
…
Persistent link: https://www.econbiz.de/10012866389
Saved in:
10
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Lee, Heebum
;
Kelly, …
-
2019
-
This version: May 7, 2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
…
Persistent link: https://www.econbiz.de/10012024377
Saved in:
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