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Gaia Serraino

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Risk management, derivatives pricing, portfolio management

 

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02 Oct 2008 VaR vs CVaR in Risk Management and Optimization Case studies on VaR and CVaR optimization Author: Gaia Serraino optimization, var optimization, cvar optimization, risk management, risk 16 1
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06 Oct 2008 VaR vs CVaR in Risk Management and Optimization Case studies on VaR and CVaR optimization Author: Gaia Serraino Chiappini, Ciro

Useful supplemental information for the paper. The PSG tool is an extremely powerful solver!.

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