Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Krabichler, Thomas | - |
| dc.contributor.author | Wunsch, Marcus | - |
| dc.date.accessioned | 2022-03-01T12:02:43Z | - |
| dc.date.available | 2022-03-01T12:02:43Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.other | arXiv:2105.07915 | de_CH |
| dc.identifier.uri | https://arxiv.org/abs/2105.07915 | de_CH |
| dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/24319 | - |
| dc.description.abstract | 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 goal-based investing and option hedging that was originally discovered in [Bro99b] 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. [FL99]) and minimizing the expected shortfall (efficient hedging, cf. [FL00]) 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.format.extent | 28 | de_CH |
| dc.language.iso | en | de_CH |
| dc.publisher | arXiv | de_CH |
| dc.rights | Licence according to publishing contract | de_CH |
| dc.subject.ddc | 332.6: Investition | de_CH |
| dc.title | Hedging goals | de_CH |
| dc.type | Working Paper – Gutachten – Studie | de_CH |
| dcterms.type | Text | de_CH |
| zhaw.departement | School of Management and Law | de_CH |
| zhaw.organisationalunit | Institut für Wealth & Asset Management (IWA) | de_CH |
| zhaw.funding.eu | No | de_CH |
| zhaw.originated.zhaw | Yes | de_CH |
| zhaw.author.additional | No | de_CH |
| zhaw.display.portrait | No | de_CH |
| Appears in collections: | Publikationen School of Management and Law | |
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Krabichler, T., & Wunsch, M. (2021). Hedging goals. arXiv. https://arxiv.org/abs/2105.07915
Krabichler, T. and Wunsch, M. (2021) Hedging goals. arXiv. Available at: https://arxiv.org/abs/2105.07915.
T. Krabichler and M. Wunsch, “Hedging goals,” arXiv, 2021. [Online]. Available: https://arxiv.org/abs/2105.07915
KRABICHLER, Thomas und Marcus WUNSCH, 2021. Hedging goals [online]. arXiv. Verfügbar unter: https://arxiv.org/abs/2105.07915
Krabichler, Thomas, and Marcus Wunsch. 2021. “Hedging Goals.” arXiv. https://arxiv.org/abs/2105.07915.
Krabichler, Thomas, and Marcus Wunsch. Hedging Goals. arXiv, 2021, https://arxiv.org/abs/2105.07915.
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