Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
Spectral measures of risk: A coherent representation of subjective risk aversion
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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.
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Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures
Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
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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.