Dynamic hedging of conditional value-at-risk (Q2444719)

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Dynamic hedging of conditional value-at-risk
scientific article

    Statements

    title
    Dynamic hedging of conditional value-at-risk (English)
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    author
    Ivan Smirnov
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    Alexander V. Melnikov
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    publication date
    10 April 2014
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    zbMATH Keywords
    conditional value-at-risk
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    dynamic hedging
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    stochastic modeling
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    quantile hedging
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    unit-linked contracts
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    60H30
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    91G70
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    zbMATH DE Number
    6282691
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    OpenAlex ID
    W2069170620
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