Develops a CVaR continuous-time model combining put options and trend following for tail risk, deriving an HJB equation and illustrating hybrid CVaR reductions via stylized Monte Carlo.
Second-order elliptic integro-differential equations: viscosity solutions’ theory revisited
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Tail Risk Management with Puts and Trend Following: A CVaR Framework for Crashes and Drawdowns
Develops a CVaR continuous-time model combining put options and trend following for tail risk, deriving an HJB equation and illustrating hybrid CVaR reductions via stylized Monte Carlo.