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Deep partial hedging
Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5
payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this … approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction …
Persistent link: https://www.econbiz.de/10013273487
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Dynamic risk management of multi-asset portfolios
Groll, Christian - 2017
Persistent link: https://www.econbiz.de/10012202863
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Hedge or rebalance : optimal risk management with transaction costs
Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon - 2018 - This version: July 4, 2018
We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …
Persistent link: https://www.econbiz.de/10011900340
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Deep hedging
Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben - In: Quantitative finance 19 (2019) 8, pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
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Reducing transaction costs for interest rate risk hedging with stochastic programming
Blomvall, Jörgen; Hagenbjörk, Johan - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1282-1293
Persistent link: https://www.econbiz.de/10013363855
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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Credit risk : from transaction to portfolio management
Kimber, Andrew - 2004
Persistent link: https://www.econbiz.de/10001768331
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Essays on stock momentum and asset liquidity
Sadka, Ronnie - 2003
Persistent link: https://www.econbiz.de/10003624563
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A Profitable Trading and Risk Management Strategy Despite Transaction Cost
Duran, Ahmet - 2018
We present a new profitable trading and risk management strategy with transaction cost for an adaptive equally weighted portfolio. Moreover, we implement a rule-based expert system for the daily financial decision making process by using the power of spectral analysis. We use several key...
Persistent link: https://www.econbiz.de/10012940693
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Quantitative Description of Financial Transactions and Risks
Olkhov, Victor - 2018
This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk ratings of economic agents play role of their coordinates. Aggregate amounts of agent's financial variables at point x define macro financial variables as functions of time and...
Persistent link: https://www.econbiz.de/10012930589