CVaR hedging under stochastic interest rate.

Angela Tsao Xiang Shi Alexander Melnikov

Published in: Frontiers Appl. Math. Stat. (2015)

Keyphrases

portfolio selection
stochastic optimization
monte carlo
risk measures
stochastic model
financial markets
stochastic processes
robust optimization
real time
long term
random variables
state dependent
decision making
stochastic models
growth rate
portfolio optimization
data mining