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https://doi.org/10.21256/zhaw-29377| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Hedging goals |
| Autor/-in: | Krabichler, Thomas Wunsch, Marcus |
| et. al: | No |
| DOI: | 10.1007/s11408-023-00437-y 10.21256/zhaw-29377 |
| Erschienen in: | Financial Markets and Portfolio Management |
| Band(Heft): | 38 |
| Heft: | 1 |
| Seite(n): | 93 |
| Seiten bis: | 122 |
| Erscheinungsdatum: | 17-Nov-2023 |
| Verlag / Hrsg. Institution: | Springer |
| ISSN: | 1934-4554 2373-8529 |
| Sprache: | Englisch |
| Schlagwörter: | Goal-based investing; Quantile hedging; Efficient hedging; Deep hedging |
| Fachgebiet (DDC): | 332.6: Investition |
| Zusammenfassung: | Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In this article, we expand the close connection between goalbased investing and option hedging that was originally discovered in Browne (Adv Appl Probab 31(2):551–577, 1999) by allowing for varying degrees of investor risk aversion using lower partial moments of different orders. Moreover, we show that maximizing the probability of reaching the goal (quantile hedging, cf. Föllmer and Leukert in Finance Stoch 3:251–273, 1999) and minimizing the expected shortfall (efficient hedging, cf. Föllmer and Leukert in Finance Stoch 4:117–146, 2000) yield, in fact, the same optimal investment policy. We furthermore present an innovative and model-free approach to goal-based investing using methods of reinforcement learning. To the best of our knowledge, we offer the first algorithmic approach to goal-based investing that can find optimal solutions in the presence of transaction costs. |
| Weitere Angaben: | Erworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch) |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/29377 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 4.0: Namensnennung 4.0 International |
| Departement: | School of Management and Law |
| Organisationseinheit: | Institut für Wealth & Asset Management (IWA) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2023_Krabichler-Wunsch_Hedging-goals.pdf | 2.6 MB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Krabichler, T., & Wunsch, M. (2023). Hedging goals. Financial Markets and Portfolio Management, 38(1), 93–122. https://doi.org/10.1007/s11408-023-00437-y
Krabichler, T. and Wunsch, M. (2023) ‘Hedging goals’, Financial Markets and Portfolio Management, 38(1), pp. 93–122. Available at: https://doi.org/10.1007/s11408-023-00437-y.
T. Krabichler and M. Wunsch, “Hedging goals,” Financial Markets and Portfolio Management, vol. 38, no. 1, pp. 93–122, Nov. 2023, doi: 10.1007/s11408-023-00437-y.
KRABICHLER, Thomas und Marcus WUNSCH, 2023. Hedging goals. Financial Markets and Portfolio Management. 17 November 2023. Bd. 38, Nr. 1, S. 93–122. DOI 10.1007/s11408-023-00437-y
Krabichler, Thomas, and Marcus Wunsch. 2023. “Hedging Goals.” Financial Markets and Portfolio Management 38 (1): 93–122. https://doi.org/10.1007/s11408-023-00437-y.
Krabichler, Thomas, and Marcus Wunsch. “Hedging Goals.” Financial Markets and Portfolio Management, vol. 38, no. 1, Nov. 2023, pp. 93–122, https://doi.org/10.1007/s11408-023-00437-y.
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