Stress testing for VaR and CVaR

DOI10.1080/14697680600973323zbMath1190.91073OpenAlexW2123304704MaRDI QIDQ5423193

Jitka Dupačová, Jan Polívka

Publication date: 22 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600973323

zbMATH Keywords

linear programmingportfolio optimizationStochastic programmingrisk managementdynamic modelsfixed-income marketsasset liability modelling

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (9)

Unnamed Item ⋮ Decision-based scenario clustering for decision-making under uncertainty ⋮ Approximation and contamination bounds for probabilistic programs ⋮ Robustness in stochastic programs with risk constraints ⋮ Postoptimality for mean-risk stochastic mixed-integer programs and its application ⋮ Testing the structure of multistage stochastic programs ⋮ Robustness of optimal portfolios under risk and stochastic dominance constraints ⋮ Structure of risk-averse multistage stochastic programs ⋮ Robustness of stochastic programs with endogenous randomness via contamination

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• On differential stability in stochastic programming
• A heuristic for moment-matching scenario generation
• Scenario-based stochastic programs: Resistance with respect to sample
• Approximation Theorems of Mathematical Statistics
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
• Dual Stochastic Dominance and Related Mean-Risk Models
• Contributions to the theory of stochastic programming
• Scenario tree generation for multiperiod financial optimization of optimal discretization

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