Downside risk measurement in regime switching stochastic volatility.
Sovan MitraPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- financial crisis
- chance constraints
- stock market
- decision making
- stochastic optimization
- risk management
- stock price
- stochastic model
- risk factors
- financial markets
- chance constrained
- high risk
- minimum risk
- turning points
- learning automata
- portfolio management
- garch model
- stochastic process
- investment strategies
- measurement error
- portfolio optimization
- neural network
- early warning
- data acquisition
- learning algorithm