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Linear-time accurate lattice algorithms for tail conditional expectation.

Bryant ChenWilliam W. Y. HsuJan-Ming HoMing-Yang Kao
Published in: Algorithmic Finance (2014)
Keyphrases
  • learning algorithm
  • worst case
  • neural network
  • conditional expectation
  • data sets
  • theoretical framework
  • data mining
  • decision making
  • probability distribution
  • utility function
  • global optimization