, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

the determination of a loading and solvency margin for systematic longevity risk. We also quantify the natural hedging …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional …-Value-at-Risk (CVaR). In particular, we derive first-order conditions characterizing VaR- and CVaR-minimal hedging with futures in regime …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …