Sharp asymptotics for large portfolio losses under extreme risks.

Qihe Tang Zhaofeng Tang Yang Yang

Published in: Eur. J. Oper. Res. (2019)

Keyphrases

decision making
risk management
sufficient conditions
portfolio management
risk analysis
portfolio selection
portfolio optimization
transaction costs
high quality
markov chain
heavy traffic
neural network
information retrieval
risk factors
large deviations
market data