Hedging CVaR with Options

Student: Vanyan Elen

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 8

Year of Graduation: 2016

Abstract. Nowadays due to unstable financial markets investors have to seek new opportunities to minimize risk of portfolio depreciation. Conditional Value at Risk (CVaR) is used to measure risk in this study. This research highlights some aspects of using options to reduce CVaR. CVaR is calculated with Monte-Carlo simulation methods.

Full text (added May 27, 2016)

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