Stochastic quasi-gradient techniques in VaR-based ALM models

MaRDI QIDQ2740085zbMATH OpenFDO

Authors Alexander Mertens

Publication date 16 September 2001

Published in Theory of Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

asset-liability managementportfolio optimizationstochastic quasi-gradient methodvalue-at-risk

Mathematics Subject Classification ID

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Cited in

(5)

• ALM models based on second order stochastic dominance
• Empirical tail risk management with model-based annealing random search
• Robust scenario-based value-at-risk optimization
• Quais-Newton methods for order-value optimization and value-at-risk calculations
• Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method

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