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Applications of Optimization in Finance, Computable Bounds for Expected Shortfall (CVaR)

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ucalgthes_2014_esteki_fataneh.pdf (627.51 KB)

Date

2015-01-09

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Abstract

This study is concerned with finding an algorithm for computing sharp bounds for the Expected Shortfall, motivated by its desirable theoretical and practical properties. Expected Shortfall is the conditional average loss above a given threshold. For more information refer to the thesis.

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Mathematics

Citation

Esteki, F. (2015). Applications of Optimization in Finance, Computable Bounds for Expected Shortfall (CVaR) (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/24971

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http://hdl.handle.net/11023/2002

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