scholarly journals Optimal Control of Conditional Value-at-Risk in Continuous Time

2017 ◽  
Vol 55 (2) ◽  
pp. 856-884 ◽  
Author(s):  
Christopher W. Miller ◽  
Insoon Yang
Keyword(s):  
At Risk ◽  
Optimal Control ◽  
Continuous Time ◽  
Value At Risk ◽  
Conditional Value At Risk

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

2014 ◽  
Vol 16 (6) ◽  
pp. 3-29 ◽  
Author(s):  
Samuel Drapeau ◽  
Michael Kupper ◽  
Antonis Papapantoleon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Certainty Equivalents
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