VaR as the CVaR sensitivity : applications in risk optimization
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Keywords
VaR Optimization;JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2016-03-17 (Operations Research)
- NEP-RMG-2016-03-17 (Risk Management)
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