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.
Simulating sensitivities of conditional value at risk
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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.