## Abstract In this article, it is shown that although minimumโvariance hedging unambiguously reduces the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; consequently the effectiveness of hedging in terms of value at risk (VaR) and conditional value at risk
Dynamic hedging of conditional value-at-risk
โ Scribed by Alexander Melnikov; Ivan Smirnov
- Book ID
- 113662526
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 357 KB
- Volume
- 51
- Category
- Article
- ISSN
- 0167-6687
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๐ SIMILAR VOLUMES
## Abstract We propose a new approach to the estimation of the portfolio ValueโatโRisk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return
## Abstract The nonโnormality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimumโvariance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns