Dynamic hedging of conditional value-at-risk
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References listed on IDEAS
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- Compare, M. & Martini, F. & Zio, E., 2015. "Genetic algorithms for condition-based maintenance optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 244(2), pages 611-623.
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More about this item
KeywordsIB10; IM01; IM10; IM53; Conditional value-at-risk; Dynamic hedging; Stochastic modeling; Quantile hedging; Unit-linked contracts;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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