Minimizing measures of risk by saddle point conditions
DOI10.1016/J.CAM.2010.04.002zbMATH Open1200.91132OpenAlexW2048658892MaRDI QIDQ984899FDOQ984899
Beatriz Balbás, Alejandro Balbás, Raquel Balbás
Publication date: 20 July 2010
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.2010.04.002
Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Programming in abstract spaces (90C48) Financial applications of other theories (91G80)
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Cited In (11)
- Pricing and risk management of interest rate swaps
- Minimax strategies and duality with applications in financial mathematics
- V@R representation theorems in ambiguous frameworks
- VaR as the CVaR sensitivity: applications in risk optimization
- BENCHMARKED RISK MINIMIZATION
- Differential equations connecting VaR and CVaR
- Pareto efficient buy and hold investment strategies under order book linked constraints
- Exhibiting abnormal returns under a risk averse strategy
- Vector risk functions
- Satisficing Measures for Analysis of Risky Positions
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
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