id	author	title	date	pages	extension	mime	words	sentences	flesch	summary	cache	txt
cord-290708-hv1um2ln	Zhu, Shushang	Hedging Crash Risk in Optimal Portfolio Selection	2020-07-28		.txt	text/plain	8587	573	65	investigate the Conditional Value-at-Risk (CVaR) model based portfolio optimization problem considering only derivatives. (2013) propose a general hedged portfolio optimization approach based on risk measure calculated by the approximate parametric VaR. In this section, we discuss parametric approximation of the value change of a hedged portfolio and investigate the problem of measuring risk of a hedged portfolio in normal market conditions and in a crash, respectively. We then propose a tractable convex conic programming approach to solve the hedged portfolio optimization problem with crash risk control. In this subsection, we discuss the measure and calculation of hedged portfolio risk in a normal market and in a crash, respectively. Using (4), (15), (17) and (18), we get the following proposition which means that the portfolio optimization problem with crash risk control can be solved by a tractable convex programming approach.	./cache/cord-290708-hv1um2ln.txt	./txt/cord-290708-hv1um2ln.txt