Encoded value-at-risk: a machine learning approach for portfolio risk measurement
DOI10.1016/J.MATCOM.2022.07.015OpenAlexW4288045340WikidataQ114149820 ScholiaQ114149820MaRDI QIDQ2168136FDOQ2168136
Hamid Arian, Shiva Zamani, Ehsan Tabatabaei, Mehrdad Moghimi
Publication date: 31 August 2022
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.06742
artificial neural networksmachine learningvalue-at-riskfinancial risk managementvariational autoencoders
Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)
Cites Work
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- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Neural Approximations for Optimal Control and Decision
- Stochastic \(L^1\)-optimal control via forward and backward sampling
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Cited In (3)
- Influence factor studies based on ensemble learning on the innovation performance of technology mergers and acquisitions
- Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages
- Using financial risk measures for analyzing generalization performance of machine learning models
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