We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks, and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...

When levered exchange products were first introduced, they were heralded as a convenient mechanism for investors to achieve a better result than with more traditional borrowing and leveraging trategies. This article shows that rebalancing decisions have a major impact on the performance of...