BP-CVaR : a novel model of estimating CVaR with back propagation algorithm
Gang-Jin Wang, Chun-Long Zhu
| Year of publication: |
2021
|
|---|---|
| Authors: | Wang, Gang-Jin ; Zhu, Chun-Long |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 209.2021, p. 1-4
|
| Subject: | Back propagation | Back-testing | BP-CVaR | CVaR | Risk measure | Risikomaß | Algorithmus | Algorithm | Theorie | Theory | Risiko | Risk | Messung | Measurement | Schätzung | Estimation | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2021.110125 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013209345