An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree (Q2430615): Difference between revisions

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Latest revision as of 23:34, 3 July 2024

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An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
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    An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree (English)
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    8 April 2011
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    value at risk
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    tail value at risk
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    dynamic risk measures
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    time consistency
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    dynamic programming
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    path dependency
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    cutting plane method
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