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"VaR as the CVaR sensitivity: Applications in risk optimization."

Alejandro Balbás, Beatriz Balbás, Raquel Balbás (2017)

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DOI: 10.1016/J.CAM.2016.06.036

access: open

type: Journal Article

metadata version: 2021-02-16

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  dblp key:
  - journals/jcam/BalbasBB17
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  - https://dblp.org/rec/journals/jcam/BalbasBB17
Alejandro Balbás, Beatriz Balbás, Raquel Balbás:
VaR as the CVaR sensitivity: Applications in risk optimization. J. Comput. Appl. Math. 309: 175-185 (2017)

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