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Utility Estimation and Preference Aggregation under Uncertaintyby Maximum Entropy Inference
Ahuja, André - Fernuniversität <Hagen> / Lehrgebiet … - 2004
of maximum entropy (ME) inference toprocess incomplete information about single multicriteriapreferences to complement …
Persistent link: https://www.econbiz.de/10005868046
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Eccentricity in asset management
Kaya, Hakan - In: The journal of network theory in finance 1 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011374587
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Governance of artificial intelligence applications in a business audit via a fusion fuzzy multiple rule-based decision-making model
Hu, Kuang-Hua; Chen, Fu-Hsiang; Hsu, Ming-Fu; Tzeng, … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-31
A broad range of companies around the world has welcomed artificial intelligence (AI) technology in daily practices because it provides decision-makers with comprehensive and intuitive messages about their operations and assists them in formulating appropriate strategies without any hysteresis....
Persistent link: https://www.econbiz.de/10014364135
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
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Risk budgeting using a generalized diversity index
Koumou, Gilles Boevi - In: The journal of asset management : a major new, … 24 (2023) 6, pp. 443-458
Persistent link: https://www.econbiz.de/10014419523
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A numerical approach to the risk capital allocation problem
Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
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Financial modelling, risk management of energy instruments and the role of cryptocurrencies
Toan Luu Duc Huynh; Shahbaz, Muhammad; Nasir, Muhammad Ali - In: Financial modeling and risk management of energy and …, (pp. 47-75). 2022
Persistent link: https://www.econbiz.de/10013349915
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Uncertainty and risk in the cryptocurrency market
Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …
Persistent link: https://www.econbiz.de/10013475240
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Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi; Filipović, Damir - 2019
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a...
Persistent link: https://www.econbiz.de/10012052380