CVaR hedging using quantization-based stochastic approximation algorithm

DOI10.1111/MAFI.12049zbMATH Open1331.91199OpenAlexW1569607746MaRDI QIDQ2788694FDOQ2788694

Authors: O. Bardou, Noufel Frikha, Gilles Pagès 

Publication date: 22 February 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12049

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zbMATH Keywords

Robbins-Monro algorithmstochastic approximationquantificationCVaRVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic approximation (62L20) Portfolio theory (91G10)

Cites Work

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• [GLP & MEMM] Pricing Models and Related Problems

Cited In (8)

• Expected shortfall and optimal hedging payoff
• Stochastic approximation schemes for economic capital and risk margin computations
• Multi-level stochastic approximation algorithms
• Stochastic quasi-gradient techniques in VaR-based ALM models
• Quantization dimensions of compactly supported probability measures via Rényi dimensions
• Random distortion risk measures
• Simulation methods for robust risk assessment and the distorted mix approach
• CVaR-minimising hedging by a smoothing method

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