CVaR hedging using quantization-based stochastic approximation algorithm
Year of publication: |
January 2016
|
---|---|
Authors: | Bardou, O. ; Frikha, N. ; Pagès, Gilles |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 1, p. 184-229
|
Subject: | VaR | CVaR | stochastic approximation | Robbins-Monro algorithm | quantification | Theorie | Theory | Stochastischer Prozess | Stochastic process | Hedging | Algorithmus | Algorithm | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | VAR-Modell | VAR model |
-
Portfolio optimization through Kriging methods
Barrosa, Marcelo Rosário da, (2016)
-
Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation
Audet, Charles, (2022)
-
Fernández, Elena, (2019)
- More ...
-
Quantization of probability distributions under norm-based distortion measures
Delattre, Sylvain, (2004)
-
Optimal quantization for the pricing of swing options
Bardou, Olivier, (2009)
-
When are swing options bang-bang?
Bardou, Olivier, (2010)
- More ...