Hedging, Pareto optimality, and good deals

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

zbMATH Keywords

capacityhedgingPareto optimalityco-monotone additivegood deals

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Related Items (5)

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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