VaR as the CVaR sensitivity: applications in risk optimization
DOI10.1016/J.CAM.2016.06.036zbMath1346.90822OpenAlexW2286740639MaRDI QIDQ313597
Raquel Balbás, Beatriz Balbás, Alejandro Balbas
Publication date: 12 September 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.06.036
approximation methodsoptimality conditionsactuarial and financial applicationsCVaR sensitivityVaR optimization
Nonlinear programming (90C30) Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
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