An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree (Q2430615)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree |
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An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree (English)
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8 April 2011
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value at risk
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tail value at risk
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dynamic risk measures
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time consistency
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dynamic programming
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path dependency
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cutting plane method
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