An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
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Publication:2430615
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Cites work
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Computational aspects of minimizing conditional value-at-risk
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 3240941 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Integrated chance constraints: reduced forms and an algorithm
- Modeling, measuring and managing risk
- New Formulations for Optimization under Stochastic Dominance Constraints
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Optimization with Stochastic Dominance Constraints
- Processing second-order stochastic dominance models using cutting-plane representations
- Representation results for law invariant time consistent functions
- Stochastic finance. An introduction in discrete time
- The structure of m-stable sets and in particular of the set of risk neutral measures
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Value at risk and inventory control
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