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Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula.
Vini Yves Bernadin Loyara
Remi Guillaume Bagré
Diakarya Barro
Published in:
Int. J. Math. Math. Sci. (2020)
Keyphrases
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estimation algorithm
decision making
stochastic optimization
high risk
estimation accuracy
chance constraints
black scholes
maximum a posteriori probability
portfolio optimization
maximum likelihood estimation
monte carlo
data sets
real time
risk assessment
risk averse
dynamic programming
minimum risk
case study