Robust Λ-quantiles and extreme probabilities

By Xia Han, Peng Liu

Published 2024-06-19

Everscope rating

1624

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Distributionally Robust Optimization. Problem types: Risk Management, Portfolio Optimization.

arXiv:2406.13539 · Paper rankings

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