Optimal hedging with variational preferences under convex risk measures

By Marcelo Righi

Published 2024-07-03

Everscope rating

1295.4

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Theoretical analysis. Problem types: Optimal hedging, Risk management, Portfolio optimization.

arXiv:2407.03431 · Paper rankings

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