Solving optimal investment problems with structured products under CVaR constraints

DOI10.1080/02331930902741739zbMath1160.91013OpenAlexW1988936172MaRDI QIDQ3625228

Ralf Korn, Serkan Zeytun

Publication date: 12 May 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930902741739

zbMATH Keywords

stochastic processeslinear optimizationrisk measuresoptimal investmentlinearization of conditional value-at-risk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Linear programming (90C05)

Cites Work

• Coherent Measures of Risk
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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