Derivative portfolio risk management using a value-at-risk framework

被引：0
|
作者：
Carandang, R
机构：
来源：
PROCEEDINGS OF THE IEEE/IAFE 1997 COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING (CIFER) | 1997年
关键词：
D O I：
10.1109/CIFER.1997.618946
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Hedging derivative portfolio risk using the Creeks (i.e. Delta, Gamma, Vega, etc.) is common. This paper presents an alternative or additional value-added approach to hedging downside risk by using a Value-at-Risk framework.
引用
收藏
页码：260 / 265
页数：6
相关论文
共 50 条
  • [1] Optimal portfolio selection in a Value-at-Risk framework
    Campbell, R
    Huisman, R
    Koedijk, K
    [J]. JOURNAL OF BANKING & FINANCE, 2001, 25 (09) : 1789 - 1804
  • [2] An effective portfolio management with minimized Value-at-Risk
    Luksys, Kestutis
    Valakevicius, Eimutis
    [J]. International Conference on Operational Research: Simulation and Optimisation in Business and Industry, 2006, : 189 - 193
  • [3] Value-at-risk methodologies for effective energy portfolio risk management
    Halkos, George E.
    Tsirivis, Apostolos S.
    [J]. ECONOMIC ANALYSIS AND POLICY, 2019, 62 : 197 - 212
  • [4] Comment on "optimal portfolio selection in a value-at-risk framework"
    Huang, HH
    [J]. JOURNAL OF BANKING & FINANCE, 2005, 29 (12) : 3181 - 3185
  • [5] Stability analysis of portfolio management with conditional value-at-risk
    Kaut, Michal
    Vladimirou, Hercules
    Wallace, Stein W.
    Zenios, Stavros A.
    [J]. QUANTITATIVE FINANCE, 2007, 7 (04) : 397 - 409
  • [6] A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
    Shiraz, Rashed Khanjani
    Tavana, Madjid
    Fukuyama, Hirofumi
    [J]. SOFT COMPUTING, 2020, 24 (22) : 17167 - 17186
  • [7] A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
    Rashed Khanjani Shiraz
    Madjid Tavana
    Hirofumi Fukuyama
    [J]. Soft Computing, 2020, 24 : 17167 - 17186
  • [8] Portfolio optimization with entropic value-at-risk
    Ahmadi-Javid, Amir
    Fallah-Tafti, Malihe
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2019, 279 (01) : 225 - 241
  • [9] Active portfolio management with benchmarking: Adding a value-at-risk constraint
    Alexander, Gordon J.
    Baptista, Alexandre M.
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2008, 32 (03): : 779 - 820
  • [10] Value-at-Risk Based Portfolio Management in Electric Power Sector
    Shi, Ran
    Zhong, Jin
    [J]. WMSCI 2008: 12TH WORLD MULTI-CONFERENCE ON SYSTEMICS, CYBERNETICS AND INFORMATICS, VOL VI, PROCEEDINGS, 2008, : 249 - 253
12345