VaR as the CVaR sensitivity: applications in risk optimization (Q313597): Difference between revisions
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Revision as of 23:24, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VaR as the CVaR sensitivity: applications in risk optimization |
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VaR as the CVaR sensitivity: applications in risk optimization (English)
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12 September 2016
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VaR optimization
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CVaR sensitivity
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approximation methods
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optimality conditions
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actuarial and financial applications
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