The main aim of this paper is to develop an optimal partial hedging strategy that minimises an investor’s shortfall subject to an initial wealth constraint. The risk criterion we employ is a robust tail risk measure called Range Value-at-Risk (RVaR) which belongs to a wider class of distortion risk measures and contains the well-known measures VaR and CVaR as important limiting cases. Explicit forms of such RVaR-based optimal hedging strategies are derived. In addition, we provide a numerical example to demonstrate how to apply this more comprehensive methodology of partial hedging in the area of mixed finance/insurance contracts in the market with long-range dependence.

本文的主要目的是开发一种最优的部分对冲策略，在初始财富约束下最大限度地减少投资者的亏空。我们采用的风险标准是一种稳健的尾部风险度量，称为风险范围值 (RVaR)，它属于更广泛的扭曲风险度量类别，并包含众所周知的度量 VaR 和 CVaR 作为重要的限制情况。导出了这种基于 RVaR 的最优对冲策略的显式形式。此外，我们提供了一个数值示例来演示如何将这种更全面的部分对冲方法应用于具有长期依赖性的市场中的混合金融/保险合约领域。