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Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement.
Hamidreza Arian
Mehrdad Moghimi
Ehsan Tabatabaei
Shiva Zamani
Published in:
Math. Comput. Simul. (2022)
Keyphrases
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portfolio management
portfolio optimization
risk management
risk factors
high risk
risk averse
decision making
multiresolution
risk measures
portfolio theory
artificial intelligence
asset allocation
minimum risk
investment strategies
portfolio selection
risk assessment
loss function
similarity measure