An Asymptotic CVaR Measure of Risk for Markov Chains

By Shivam Patel, Vivek Borkar

Published 2024-05-22

Everscope rating

1725.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Asymptotic Conditional Value at Risk (ACVaR). Problem types: Risk Management, Time Series Analysis.

arXiv:2405.13513 · Paper rankings

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