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Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach

Karnakar, Madhusudan; Sharma, Udayan - In: Applied economics 52 (2020) 48, pp. 5244-5262

Persistent link: https://www.econbiz.de/10012307213

Hedging-based utility risk measure customized for individual investors

Dong, Linjia; Yang, Zhaojun - In: Operations research letters 50 (2022) 5, pp. 509-512

Persistent link: https://www.econbiz.de/10013449436

Relationship between deep hedging and delta hedging : leveraging a statistical arbitrage strategy

Horikawa, Hiroaki; Nakagawa, Kei - In: Finance research letters 62 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014530849

Reinforcement learning with dynamic convex risk measures

Coache, Anthony; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 557-587

Persistent link: https://www.econbiz.de/10014514792

Balancing Longevity Risk and Market Risk In Target Date Funds

Jacobsen, Brian - 2010

There are two basic types of risk that investors try to balance when saving for retirement: longevity risk and market … risk. Using an asset-liability framework, we demonstrate how creating a defined contribution plan that encourages … helps achieve a balance of these two types of risk …

Persistent link: https://www.econbiz.de/10013137421