Expected shortfall and optimal hedging payoff

DOI10.1016/j.crma.2018.03.010zbMath1386.91173OpenAlexW2791378733MaRDI QIDQ1747394

Olivier Guéant

Publication date: 8 May 2018

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2018.03.010

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic approximation (62L20)

Cites Work

• CV<scp>a</scp> R HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM
• Shortfall Risk Minimization in Discrete Time Financial Market Models
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling

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