  In academic literature portfolio risk management and hedging are often versed
in the language of stochastic control and Hamilton--Jacobi--Bellman~(HJB)
equations in continuous time. In practice the continuous-time framework of
stochastic control may be undesirable for various business reasons. In this
work we present a straightforward approach for thinking of cross-asset
portfolio risk management and hedging, providing some implementation details,
while rarely venturing outside the convex optimisation setting of (approximate)
quadratic programming~(QP). We pay particular attention to the correspondence
between the economic concepts and their mathematical representations; the
abstractions enabling us to handle multiple asset classes and risk models at
once; the dimensional analysis of the resulting equations; and the assumptions
inherent in our derivations. We demonstrate how to solve the resulting QPs with
CVXOPT.
