Managing Derivative Exposure - Quantitative Finance > Portfolio ManagementReport as inadecuate




Managing Derivative Exposure - Quantitative Finance > Portfolio Management - Download this document for free, or read online. Document in PDF available to download.

Abstract: We present an approach to derivative exposure management based on subjectiveand implied probabilities. We suggest to maximize the valuation differencesubject to risk constraints and propose a class of risk measures derived fromthe subjective distribution. We illustrate this process with specific examplesfor the two and three dimensional case. In these cases the optimization can beperformed graphically.



Author: Ulrich Kirchner

Source: https://arxiv.org/







Related documents