moneyness of the option as a function of the asset's distribution, the risk-free rate, and the VaR hedging period. We find that … the optimal strike of the put is independent of the level of expense the institution is willing to incur for its hedging … hedging cost or the increased cost to achieve a given VaR, are economically significant. Comparative static results show that …

the cost-resiliency trade-off. We propose the risk-versus-reward framework from portfolio theory as a good way to evaluate …