VaR as the CVaR sensitivity: applications in risk optimization

DOI10.1016/J.CAM.2016.06.036zbMATH Open1346.90822OpenAlexW2286740639MaRDI QIDQ313597FDOQ313597

Authors: Beatriz Balbás, Raquel Balbás, Alejandro Balbás 

Publication date: 12 September 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.06.036

Recommendations

• Differential equations connecting VaR and CVaR
• Some remarks on the value-at-risk and the conditional value-at-risk
• CVaR minimization by the SRA algorithm
• CVaR proxies for minimizing scenario-based value-at-risk
• Conditional value-at-risk: optimization approach

zbMATH Keywords

optimality conditionsapproximation methodsactuarial and financial applicationsCVaR sensitivityVaR optimization

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Nonlinear programming (90C30) Portfolio theory (91G10)

Cites Work

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Cited In (16)

• CVaR norm and applications in optimization
• Title not available (Why is that?)
• Stress testing for VaR and CVaR
• CVaR minimization by the SRA algorithm
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• A note on conditional value at risk (CVaR)
• Varying confidence levels for CVaR risk measures and minimax limits
• Differential equations connecting VaR and CVaR
• On the uncertainty of VaR of individual risk
• Comparison of VaR and CVaR criteria
• CVaR proxies for minimizing scenario-based value-at-risk
• Title not available (Why is that?)
• Simulating sensitivities of conditional value at risk
• Some remarks on the value-at-risk and the conditional value-at-risk
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• Conditional value-at-risk: optimization approach

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