Expected shortfall and optimal hedging payoff
type: Item
instance of: scholarly article
title: Expected shortfall and optimal hedging payoff
zbMATH Open document ID: 1386.91173
author: Olivier Guéant
published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris
publication date: 2018-05-08T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62L20
zbMATH DE Number: 6866777
MaRDI profile type: Publication
full work available at URL: j.crma.2018.03.010
OpenAlex ID: W2791378733
cites work: Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
cites work: CVaR hedging using quantization-based stochastic approximation algorithm
cites work: Shortfall Risk Minimization in Discrete Time Financial Market Models
DOI: 10.1016/J.CRMA.2018.03.010
description: scientific article; zbMATH DE number 6866777