Melnikov, Alexander; Smirnov, Ivan - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 182-190
In this paper, the problem of partial hedging is studied by constructing hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio. Two dual versions of the problem are considered: minimization of CVaR with the initial wealth bounded from above, and minimization of...