Minimizing CVaR in global dynamic hedging with transaction costs (Q5001143)
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scientific article; zbMATH DE number 7372411
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimizing CVaR in global dynamic hedging with transaction costs |
scientific article; zbMATH DE number 7372411 |
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Minimizing CVaR in global dynamic hedging with transaction costs (English)
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16 July 2021
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hedging
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risk measures
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tail value-at-risk
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conditional value-at-risk
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dynamic programming
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transaction costs
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