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Hedging Conditional Value at Risk with options
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DOI：10.1016/j.ejor.2014.11.011.png)
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Abstract
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We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging. (C) 2014 Elsevier B.V. All rights reserved.
Keywords:
Conditional Value at Risk
Expected Shortfall
Measures of risk
Risk management
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