VaR as the CVaR sensitivity: applications in risk optimization (Q313597)
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scientific article; zbMATH DE number 6626241
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| English | VaR as the CVaR sensitivity: applications in risk optimization |
scientific article; zbMATH DE number 6626241 |
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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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0.8680902123451233
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0.8422213792800903
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0.842207133769989
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0.8274657130241394
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0.8215720653533936
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