Research reduces risks

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Hedging Large Risks Reduces the Transaction Costs

As soon as one accepts to abandon the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because diierent deenitions of the risk become unequivalent. Optimal hedges then depend on the quantity one wishes to minimize. We show that a deenition of the risk more sensitive to the extreme events generically leads to a decrease both of the probability of extreme...

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0 Hedging large risks reduces the transaction costs

As soon as one accepts to abandon the zero-risk paradigm of BlackScholes, very interesting issues concerning risk control arise because different definitions of the risk become unequivalent. Optimal hedges then depend on the quantity one wishes to minimize. We show that a definition of the risk more sensitive to the extreme events generically leads to a decrease both of the probability of extre...

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ژورنال

عنوان ژورنال: Bulletin of the New Zealand Society for Earthquake Engineering

سال: 1990

ISSN: 2324-1543,1174-9857

DOI: 10.5459/bnzsee.23.2.121-129