Differential equations connecting VaR and CVaR.
Alejandro BalbásBeatriz BalbásRaquel BalbásPublished in: J. Comput. Appl. Math. (2017)
Keyphrases
- differential equations
- risk measures
- robust optimization
- dynamical systems
- numerical solution
- boundary value problem
- risk averse
- numerical methods
- portfolio selection
- portfolio optimization
- ordinary differential equations
- brownian motion
- partial differential equations
- difference equations
- nonparametric estimation
- neural network
- nonlinear differential equations
- stochastic programming
- transmission line
- mathematical programming
- pattern recognition
- feature extraction
- utility function
- dynamic programming
- feed forward artificial neural networks