An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree (Q2430615)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5876145
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree |
scientific article; zbMATH DE number 5876145 |
Statements
An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree (English)
0 references
8 April 2011
0 references
value at risk
0 references
tail value at risk
0 references
dynamic risk measures
0 references
time consistency
0 references
dynamic programming
0 references
path dependency
0 references
cutting plane method
0 references
0 references
0 references
0 references
0.7042885422706604
0 references
0.6960324048995972
0 references
0.6942070126533508
0 references
0.6937531232833862
0 references
0.6937196254730225
0 references
