Differential equations connecting VaR and CVaR

DOI10.1016/J.CAM.2017.05.037zbMATH Open1367.91199OpenAlexW2604034411MaRDI QIDQ2012604FDOQ2012604

Beatriz Balbás, Raquel Balbás, Alejandro Balbás

Publication date: 1 August 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/24017

zbMATH Keywords

differential equationsrisk and marginal risk estimationrisk optimization and probabilistic constraintsVaR and CVaRVaR representation theorem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Theory of multiobjective optimization
• Generalized deviations in risk analysis
• The Fritz John necessary optimality conditions in the presence of equality and inequality constraints
• Minimizing measures of risk by saddle point conditions
• Applied functional analysis. Main principles and their applications
• Optimal reinsurance under risk and uncertainty
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal Financial Portfolios
• The Order of Numerical Methods for Ordinary Differential Equations
• On the Nature of the Spectrum of Singular Second Order Linear Differential Equations
• Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
• Actuarial risk measures for financial derivative pricing
• Value-at-risk optimization using the difference of convex algorithm
• VaR as the CVaR sensitivity: applications in risk optimization
• Good deals and benchmarks in robust portfolio selection
• Martingales and Stochastic Integrals
• Hedging, Pareto optimality, and good deals
• Some new classes of consistent risk measures
• Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
• Optimal investment and risk control for an insurer under inside information
• The optimal portfolio problem with coherent risk measure constraints.
• Dual representation of monotone convex functions on 𝐿⁰
• Optimization of a long-short portfolio under nonconvex transaction cost
• Optimal reinsurance
• OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
• Runge-Kutta restarters for multistep methods in presence of frequent discontinuities

Cited In (5)

• V@R representation theorems in ambiguous frameworks
• Calibrating Distribution Models from PELVE
• A risk measure of the stock market that is based on multifractality
• Trade and currency options hedging model
• Golden options in financial mathematics

This page was built for publication: Differential equations connecting VaR and CVaR

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2012604)