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Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR.

Charles-Olivier Amédée-ManesmeFabrice BarthélémyDidier Maillard
Published in: Ann. Oper. Res. (2019)
Keyphrases
  • risk measures
  • response surface methodology
  • artificial intelligence
  • decision making
  • pattern recognition
  • robust optimization
  • feature space