, which is called G-bounds. Constructed G-bounds evaluate risk in the financial markets more carefully than models based on …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts … holds a linear position in U. When the exposure to the non-tradable risk factor is non-linear, we provide an approximation … cross-impact and risk-aversion are small. We further prove that when exposure to U is non-linear, the approximate optimal …