Dynamic Minimization of Worst Conditional Expectation of Shortfall
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- Paul Embrechts & Alexander Schied & Ruodu Wang, 2018. "Robustness in the Optimization of Risk Measures," Papers 1809.09268, arXiv.org, revised Aug 2019.
- Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
- Mingxin Xu, 2006.
"Risk measure pricing and hedging in incomplete markets,"
Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
- Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, University Library of Munich, Germany, revised 07 Mar 2006.
- François, Pascal & Gauthier, Geneviève & Godin, Frédéric, 2014. "Optimal hedging when the underlying asset follows a regime-switching Markov process," European Journal of Operational Research, Elsevier, vol. 237(1), pages 312-322.
- Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
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