Empirical tail risk management with model-based annealing random search

Tail risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) are popularly accepted criteria for financial risk management, but are usually difficult to optimize. Especially for VaR, it generally leads to a non-convex NP-hard problem which is computationally challenging. In th...

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Bibliographic Details
Main Authors: Fan, Qi, Tan, Ken Seng, Zhang, Jinggong
Other Authors: Nanyang Business School
Format: Article
Language:English
Published: 2023
Subjects:
Online Access:https://hdl.handle.net/10356/169130
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Institution: Nanyang Technological University
Language: English

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