CVaR hedging using quantization-based stochastic approximation algorithm (Q2788694)
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scientific article; zbMATH DE number 6543358
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| English | CVaR hedging using quantization-based stochastic approximation algorithm |
scientific article; zbMATH DE number 6543358 |
Statements
22 February 2016
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VaR
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CVaR
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stochastic approximation
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Robbins-Monro algorithm
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quantification
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CVaR hedging using quantization-based stochastic approximation algorithm (English)
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