Abstract:Although Value at Risk (VaR) and Conditional Value at Risk (CVaR) have been established as standard techniques in many fields of risk management and portfolio selection, the literature rarely applies these risk measures to futures hedging. The purpose of this paper is to characterize analytically VaR-and CVaR-minimal hedging strategies. We apply results about quantile derivatives to obtain first order conditions that hold under weak assumptions on the underlying return distribution. We then focus on condition… Show more
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