Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Cheng Peng, Shuang Li, Yanlong Zhao, Ying Bao
| Year of publication: |
2021
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|---|---|
| Authors: | Peng, Cheng ; Li, Shuang ; Zhao, Yanlong ; Bao, Ying |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-14
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| Subject: | Conditional Value-at-Risk | Deep learning | Hedging strategies | Sample average approximation | Theoretical guarantee | Uniform convergence | Theorie | Theory | Hedging | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101325 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821981