Presented by: 
Chengguo Weng, University of Waterloo
Fri 23 Aug, 3:00 pm - 4:00 pm

Hedging is one of the most important topics in finance. Theoretically, in a complete
market any contingent claim can be perfectly hedged with a hedging cost exactly
equal to the claim price. If the financial market is incomplete, a contingent claim
may be protected by superhedging. In practice, a hedging strategy with a full
protection may not be satisfactory to the investors due to the implementation
costs which erode the chance of making any profit. A more practical and desirable
strategy is to resort to the partial hedging which protects a financial position only
partially. The quantile hedging and shortfall hedging by Föllmer and Leukert
are two most popular partial hedging strategies in the literature. In this talk
I will introduce some results we recently developed on optimal partial hedging
by respectively minimizing two popular risk measures: Value at Risk (VaR) and
Conditional Value at Risk (CVaR). Optimal solutions for both the VaR-based and
CVaR-based models will be presented in analytical forms. The advantages of our
partial hedging strategies over the quantile and shortfall hedging strategies will be

Chengguo Weng