Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model.
Seyed Mohammad Sina SeyfiAzin SharifiHamidreza ArianPublished in: Math. Comput. Simul. (2021)
Keyphrases
- gaussian mixture model
- mixture model
- feature vectors
- expectation maximization
- em algorithm
- speaker recognition
- maximum likelihood
- portfolio management
- portfolio optimization
- background subtraction
- gaussian mixture
- gaussian distribution
- feature space
- gaussian mixture modeling
- risk management
- speaker identification
- portfolio selection
- probability density function
- bayesian information criterion
- mixture of gaussians
- text classification
- dimensionality reduction
- investment decisions