An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
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Publication:2430615
DOI10.1007/s10479-010-0761-7zbMath1209.91086OpenAlexW1970477835MaRDI QIDQ2430615
Publication date: 8 April 2011
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-010-0761-7
dynamic programmingcutting plane methodvalue at risktime consistencydynamic risk measurestail value at riskpath dependency
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Uses Software
Cites Work
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