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 …

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small … transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming …

A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized …

This paper investigates corporate hedging under regret aversion. Regret-averse firms try to avoid deviations of their … hedging policy from the ex post best policy, an intuitive consideration if one has to justify one's decisions afterward. The … downside price risk than standard expected utility theory. In the profit region of the price distribution, however, regret …

We study how risk management through hedging impacts firms and competition among firms in the life insurance industry … face costly external finance increase hedging after staggered state-level financial reform that reduces the costs of … hedging. Post reform impacted firms have lower risk and fewer negative income shocks. Product market competition is also …