Abstract
The aim of the paper is to develop a dynamic portfolio hedging strategy leading to an optimal wealth policy in a finite investment horizon while obeying a risk constraint. The utility maximization problem is restricted by an upper bound applied on the Conditional Value-at-Risk (CVaR) measure. We investigate the strategy dynamics and properties in terms of the desired wealth distribution and risky assets exposure.
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This work was supported by Vega 1/2429/12 grant.
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© 2014 Springer International Publishing Switzerland
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Harcek, M. (2014). Risk Adjusted Dynamic Hedging Strategies. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-05014-0_27
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DOI: https://doi.org/10.1007/978-3-319-05014-0_27
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-05013-3
Online ISBN: 978-3-319-05014-0
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