We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

, decision-makers may make optimal decisions based on a trade-off between risk and return.Theory indicates the optimal hedging … hedge proceeds from no-hedging, to acquiring options, then to replacing options with futures contracts. Using data from the …

show that the answer depends both on your view on bonds and how tail risk hedging is implemented. Adding a delta-hedging … program can significantly reduce, but not eliminate, the cost of tail risk hedging in addition to reducing path dependent … equity exposure. The ultimate benefit of a tail risk hedging program to a Multi-Asset investor increases the more bearish you …

moving, on home values, and on labor income in each region. The hedging demands offset each other when the household intends …

The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only … example where the hedging position is available in a semi-closed form. For more generic setups, we provide explicit … expressions of approximate hedging portfolio by an asymptotic expansion. These analytic expressions not only allow the hedgers to …

their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the … stochastic filtering technique. We utilize the inferred information to provide the optimal hedging strategy based on the mean … useful for manufactures and energy firms to install an efficient overlay of dynamic hedging by financial derivatives to …

Th is article examines an individual's demand for hedging instruments (forward contracts, futures contracts, and … commodity bonds) and analyzes how the demand for a hedging instrument is affected by: the instrument's price, the hedger …

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …