TASCHE, DIRK; TIBILETTI, LUISA - In: The Journal of Risk Finance 4 (2003) 2, pp. 43-46
Incremental value at risk (IVaR) is becoming a standard tool to identify investment strategies that enhance risk‐adjusted returns. Recently, practice‐oriented research has focused applying IVaR to hedging and speculating with options and risk reduction. IVaR approximation methods provide...