Hedging, Pareto optimality, and good deals
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Publication:364733
DOI10.1007/S10957-012-0209-0zbMath1273.91415OpenAlexW3121898192MaRDI QIDQ364733
Keivan Mallahi Karai, Hirbod Assa
Publication date: 9 September 2013
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-012-0209-0
Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)
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VaR as the CVaR sensitivity: applications in risk optimization ⋮ Natural risk measures ⋮ Trade-off between robust risk measurement and market principles ⋮ Price Index Insurances in the Agriculture Markets ⋮ Differential equations connecting VaR and CVaR
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