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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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2021 [1]
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NORTH AMER... [1]
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Sample average approximation of CVaR-based hedging problem with a deep-learning solution
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
Authors:
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
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Submit date：2021/04/26
Conditional Value-at-Risk
Hedging strategies
Deep learning
Theoretical guarantee
Sample average approximation
Uniform convergence
