3 papers
q-fin.CP2021
Portfolio risk allocation through Shapley value
Patrick S. Hagan, Andrew Lesniewski, Georgios E. Skoufis +1
We argue that using the Shapley value of cooperative game theory as the scheme for risk allocation among non-orthogonal risk factors is a natural way of interpreting the contributi…
q-fin.CP2017
Bartlett's delta in the SABR model
Patrick S. Hagan, Andrew Lesniewski
We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation…
q-fin.CP2014
Semiclassical approximation in stochastic optimal control I. Portfolio construction problem
Sakda Chaiworawitkul, Patrick S. Hagan, Andrew Lesniewski
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stoch…