SEMI-STATIC VARIANCE-OPTIMAL HEDGING OF COVARIANCE RISK IN MULTI-ASSET DERIVATIVES

By Konstantinos Chatziandreou, Sven Karbach

Published 2026-03-26

Everscope rating

1997

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Semi-Static Variance-Optimal Hedging via Multivariate GKW Decomposition. Problem types: Risk Management, Portfolio Optimization, Optimization, Structured Prediction.

arXiv:2603.25320 · Paper rankings

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