TY  - RPRT
AU  - Balbás, Alejandro
AU  - Balbás, Beatriz
AU  - Balbás Aparicio, Raquel
PY  - 2016
SN  - 1989-8843
UR  - https://hdl.handle.net/20.500.14352/163.1
T2  - Journal of Computational and Applied Mathematics
AB  - VaR minimization is a complex problem playing a critical role in many actuarial and financial applications of mathematical programming. The usual methods of convex programming do not apply due to the lack of sub-additivity. The usual methods of...
LA  - eng
M2  - 175
KW  - VaR optimization
KW  - CVaR sensitivity
KW  - Approximation methods
KW  - Optimality conditions
KW  - Actuarial and financial applications.
TI  - VaR as the CVaR sensitivity: Applications in risk optimization
TY  - technical report
ER  -