Differential equations connecting VaR and CVaR
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Cites work
- scientific article; zbMATH DE number 3112450 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- scientific article; zbMATH DE number 3399886 (Why is no real title available?)
- Actuarial risk measures for financial derivative pricing
- Applied functional analysis. Main principles and their applications
- Dual representation of monotone convex functions on 𝐿⁰
- Generalized deviations in risk analysis
- Good deals and benchmarks in robust portfolio selection
- Hedging, Pareto optimality, and good deals
- Martingales and Stochastic Integrals
- Minimizing measures of risk by saddle point conditions
- Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
- On the Nature of the Spectrum of Singular Second Order Linear Differential Equations
- Optimal Financial Portfolios
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal investment and risk control for an insurer under inside information
- Optimal reinsurance
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal reinsurance under risk and uncertainty
- Optimization of a long-short portfolio under nonconvex transaction cost
- Pattern-based modeling and solution of probabilistically constrained optimization problems
- Runge-Kutta restarters for multistep methods in presence of frequent discontinuities
- Some new classes of consistent risk measures
- The Fritz John necessary optimality conditions in the presence of equality and inequality constraints
- The Order of Numerical Methods for Ordinary Differential Equations
- The optimal portfolio problem with coherent risk measure constraints.
- Theory of multiobjective optimization
- VaR as the CVaR sensitivity: applications in risk optimization
- Value-at-risk optimization using the difference of convex algorithm
Cited in
(10)- V@R representation theorems in ambiguous frameworks
- Calibrating Distribution Models from PELVE
- A risk measure of the stock market that is based on multifractality
- Stress testing for VaR and CVaR
- Trade and currency options hedging model
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- Golden options in financial mathematics
- Comparison of VaR and CVaR criteria
- Some remarks on the value-at-risk and the conditional value-at-risk
- Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
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