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Analysis of criteria VaR and CVaR
Kibzun, Andrej I.; Kuznetsov, Evgeniy A. - In: Journal of banking & finance 30 (2006) 2, pp. 779-796
Persistent link: https://www.econbiz.de/10003291381
Cover Image
Analysis of criteria VaR and CVaR
Kibzun, Andrey I.; Kuznetsov, Evgeniy A. - In: Journal of Banking & Finance 30 (2006) 2, pp. 779-796
Persistent link: https://www.econbiz.de/10005201764
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Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm
Kibzun, Andrej I.; Matveev, Evgeniy - 2012
Persistent link: https://www.econbiz.de/10009688655