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Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement · Study

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ArticleEncoded Value-at-Risk: A machine learning approach for portfolio risk measurement

Hamidreza Arian2022

Article2022

Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement

Hamidreza Arian · Mehrdad Moghimi · Ehsan Tabatabaei · Shiva Zamani

21 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Risk and Volatility Modeling Stock Market Forecasting Methods Risk and Portfolio Optimization

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References

1963The Variation of Certain Speculative Prices 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2011Making and Evaluating Point Forecasts 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets 2009Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters

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Year2022

Typearticle

Published2022-07-26

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.matcom.2022.07.015

openalex_workW4288045340

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