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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
Favorite  |  View/Download:36/0  |  Submit date:2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence