Trade-off between robust risk measurement and market principles

DOI10.1007/s10957-014-0593-8zbMath1403.91145OpenAlexW3125214776MaRDI QIDQ493244

Hirbod Assa

Publication date: 3 September 2015

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-014-0593-8

zbMATH Keywords

robustnessrisk measuresgood dealsminimal modificationpricing rulesrepresentative agent hedging problem

Mathematics Subject Classification ID

Related Items (1)

VaR as the CVaR sensitivity: applications in risk optimization

Uses Software

• QRM

Cites Work

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