Portfolio value at risk based on independent component analysis (Q2372954)

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Portfolio value at risk based on independent component analysis
scientific article

    Statements

    title
    Portfolio value at risk based on independent component analysis (English)
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    author
    Ying Chen
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    Wolfgang Karl Härdle
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    Vladimir Spokoiny
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    publication date
    17 July 2007
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    zbMATH Keywords
    independent component analysis
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    value at risk
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    describes a project that uses
    FMRLAB
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    FastICA
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91B28
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    62G05
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    62H12
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    62H10
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    zbMATH DE Number
    5171671
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