We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform … supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of … market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative …

, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high …The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … derivatives have the same underlying asset. This paper also considers multiasset derivatives, gives practical methods to build …

of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely by picking high-volatility …-like payoffs. They also trade derivatives in a way to profit from the positive volatility effect. …While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock …

of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely. They pick high … derivatives in a way to profit from the positive volatility effect …While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic … volatility jump diffusion model …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …

portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … (Detering and Packham, 2013). These measures rely on the assumption that the model used for hedging represents a complete … is present when hedging options on energy futures with a simplified model compared to a model that better fits the …