Differential equations connecting VaR and CVaR

DOI10.1016/j.cam.2017.05.037zbMath1367.91199OpenAlexW2604034411MaRDI QIDQ2012604

Beatriz Balbás, Raquel Balbás, Alejandro Balbas

Publication date: 1 August 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/24017

zbMATH Keywords

differential equationsrisk and marginal risk estimationrisk optimization and probabilistic constraintsVaR and CVaRVaR representation theorem

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (3)

A risk measure of the stock market that is based on multifractality ⋮ Trade and currency options hedging model ⋮ Golden options in financial mathematics

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