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Found 7 papers, 0 papers with code
Uncertainty in the financial market and application to forecastabnormal financial fluctuations
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one.
Fixed-point iterative algorithm for SVI model
In this study, we develop an efficient iterative algorithm for the SVI model based on a fixed-point and least-square optimizer.
Compensatory model for quantile estimation and application to VaR
In contrast to the usual procedure of estimating the distribution of a time series and then obtaining the quantile from the distribution, we develop a compensatory model to improve the quantile estimation under a given distribution estimation.
Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model.
Distributional uncertainty of the financial time series measured by G-expectation
Based on law of large numbers and central limit theorem under nonlinear expectation, we introduce a new method of using G-normal distribution to measure financial risks.
Bellman type strategy for the continuous time mean-variance model
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle.
Improving Value-at-Risk prediction under model uncertainty
Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management.
