Portfolio Risk Measurement via Stochastic Mesh with Average Weight.
Ben FengGuangwu LiuKun ZhangPublished in: WSC (2022)
Keyphrases
- portfolio management
- portfolio optimization
- decision making
- portfolio theory
- risk assessment
- risk management
- portfolio selection
- investment strategies
- investment decisions
- standard deviation
- var model
- chance constraints
- high risk
- optimal portfolio
- stochastic optimization
- neural network
- asset allocation
- d mesh
- artificial neural networks
- decision support system
- risk averse
- finite element method
- market data
- expected loss
- weight assignment
- early warning
- stochastic model
- risk factors
- monte carlo