An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree

Annals of Operations Research

Volumn 181, Issue 1, 2010, Pages 463-483

  Roorda, Berend ^a  

^a UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Cutting plane method; Dynamic programming; Dynamic risk measures; Path dependency; Tail value at risk; Time consistency; Value at risk

Indexed keywords

EID: 78649776873     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-010-0761-7     Document Type: Article

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