Differential equations connecting VaR and CVaR (Q2012604)
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scientific article; zbMATH DE number 6755393
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| English | Differential equations connecting VaR and CVaR |
scientific article; zbMATH DE number 6755393 |
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Differential equations connecting VaR and CVaR (English)
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1 August 2017
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VaR and CVaR
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differential equations
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VaR representation theorem
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risk optimization and probabilistic constraints
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risk and marginal risk estimation
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