CVaR hedging using quantization-based stochastic approximation algorithm
O. Bardou (GDF Suez Finance Division, Risk Department), N. Frikha (LPMA, Université Paris-Diderot), G. Pagès (LPMA, Université Pierre & Marie Curie)
| Year of publication: |
January 2016
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|---|---|
| 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
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| Subject: | VaR | CVaR | stochastic approximation | Robbins-Monro algorithm | quantification | Stochastischer Prozess | Stochastic process | Hedging | Algorithmus | Algorithm | Theorie | Theory | Risikomaß | Risk measure | VAR-Modell | VAR model | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011550286