VaR as the CVaR sensitivity: Applications in risk optimization

  1. Balbás, A.
  2. Balbás, B.
  3. Balbás, R.
Journal:
Journal of Computational and Applied Mathematics

ISSN: 0377-0427

Year of publication: 2017

Volume: 309

Pages: 175-185

Type: Article

DOI: 10.1016/J.CAM.2016.06.036 GOOGLE SCHOLAR