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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-29377
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dc.contributor.authorKrabichler, Thomas-
dc.contributor.authorWunsch, Marcus-
dc.date.accessioned2023-12-13T13:14:34Z-
dc.date.available2023-12-13T13:14:34Z-
dc.date.issued2023-11-17-
dc.identifier.issn1934-4554de_CH
dc.identifier.issn2373-8529de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/29377-
dc.descriptionErworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch)de_CH
dc.description.abstractGoal-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.de_CH
dc.language.isoende_CH
dc.publisherSpringerde_CH
dc.relation.ispartofFinancial Markets and Portfolio Managementde_CH
dc.rightshttp://creativecommons.org/licenses/by/4.0/de_CH
dc.subjectGoal-based investingde_CH
dc.subjectQuantile hedgingde_CH
dc.subjectEfficient hedgingde_CH
dc.subjectDeep hedgingde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleHedging goalsde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.1007/s11408-023-00437-yde_CH
dc.identifier.doi10.21256/zhaw-29377-
zhaw.funding.euNode_CH
zhaw.issue1de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end122de_CH
zhaw.pages.start93de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume38de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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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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