Risk, utility and sensitivity to large losses

By Martin Herdegen, Nazem Khan, Cosimo Munari

Published 2024-05-20

Everscope rating

1289.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Theoretical analysis. Problem types: Risk Management, Portfolio Optimization.

arXiv:2405.12154 · Paper rankings

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