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Emerging Bonds Markets Crises and Contagion: Extreme Dependence
Year Of Publication: 2006
Month Of Publication: August
Pages: 44
Download Count: 618
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-29-2006
Publisher: Administrator
Summary
We propose a decomposition scheme and solution methods for multistage CVaR-minimization or CVaR-constrained problems. This scheme meets the need for handling multiple CVaR-constraints for different time frames and at different confidence levels. Hence it allows the shaping of distributions according to the decision maker's preferences. With minor modifications, the proposed scheme can be used to decompose further types of risk constraints in dynamic portfolio management problems. We consider integrated chance constraints, second-order stochastic dominance constraints, and constraints involving a special value-of-information risk measure. We also suggest application to further financial problems. We propose a dynamic risk-constrained optimization model for option pricing. Moreover we propose special mid-term constraints for use in asset-liability management.
Author(s)
Lopez, Diego N. Sign in to follow this author
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