Work

Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation Regression with Non-Crossing Conditions

Year: 2023

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.4351877

Authors: Xenxo Vidal-Llana, Carlos Salort Sánchez, Vincenzo Coia, Montserrat Guillen

Institution: Universitat de Barcelona

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4319590914

Cites: 43

Cited by:

Related to: 10