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.

A method of minimizing value at risk by hedging a position in stock using put options is presented. The result is an extension of Ahn's quot;Optimal Risk Management Using Optionsquot; (The Journal of Finance, Vol. LIV. No. 1 February 1999) where restrictions on the amount that can be used for...