Showing 81 - 90 of 703,699
Persistent link: https://www.econbiz.de/10012602600
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10013252235
Persistent link: https://www.econbiz.de/10013259272
only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only …
Persistent link: https://www.econbiz.de/10013034370
Persistent link: https://www.econbiz.de/10013187281
Persistent link: https://www.econbiz.de/10013173372
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10013243812
Persistent link: https://www.econbiz.de/10012419085
Persistent link: https://www.econbiz.de/10012500261
In traditional Reinforcement Learning (RL), agents learn to optimize actions in a dynamic context based on recursive estimation of expected values. We show that this form of machine learning fails when rewards (returns) are affected by tail risk, i.e., leptokurtosis. Here, we adapt a recent...
Persistent link: https://www.econbiz.de/10012387629