CVaR hedging using quantization-based stochastic approximation algorithm
From MaRDI portal
Publication:2788694
DOI10.1111/MAFI.12049zbMATH Open1331.91199OpenAlexW1569607746MaRDI QIDQ2788694FDOQ2788694
Noufel Frikha, O. Bardou, 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
Statistical methods; risk measures (91G70) Stochastic approximation (62L20) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Coherent measures of risk
- Asymptotic Almost Sure Efficiency of Averaged Stochastic Algorithms
- Quantile hedging
- Pricing via utility maximization and entropy.
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Convex measures of risk and trading constraints
- Convex risk measures and the dynamics of their penalty functions
- Option hedging for semimartingales
- A space quantization method for numerical integration
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- On a time consistency concept in risk averse multistage stochastic programming
- Time consistent dynamic risk measures
- Unconstrained recursive importance sampling
- Measurable Selection and Dynamic Programming
- The minimum-entropy algorithm and related methods for calibrating asset-pricing models
- [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
This page was built for publication: CVaR hedging using quantization-based stochastic approximation algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2788694)
