A discrete dynamic programming framework using CVaR and related risk measures can price GICs and point-to-point EIAs with multi-asset hedging portfolios, but the reported performance numbers are tuned in-sample.
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Risk-Control Strategies
A discrete dynamic programming framework using CVaR and related risk measures can price GICs and point-to-point EIAs with multi-asset hedging portfolios, but the reported performance numbers are tuned in-sample.