Differential equations connecting VaR and CVaR
type: Item
instance of: scholarly article
title: Differential equations connecting VaR and CVaR
zbMATH Open document ID: 1367.91199
author: Beatriz Balbás
author: Raquel Balbás
author: Alejandro Balbás
published in: Journal of Computational and Applied Mathematics
publication date: 2017-08-01T00:00:00Z
full work available at URL: http://hdl.handle.net/10016/24017
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6755393
zbMATH Keywords: VaR and CVaR
zbMATH Keywords: differential equations
zbMATH Keywords: VaR representation theorem
zbMATH Keywords: risk optimization and probabilistic constraints
zbMATH Keywords: risk and marginal risk estimation
MaRDI profile type: Publication
OpenAlex ID: W2604034411
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DOI: 10.1016/J.CAM.2017.05.037
description: scientific article; zbMATH DE number 6755393