Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach
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More about this item
Keywords
Portfolio optimization; probability forecasting; quantile regression neural network; extreme scenarios; big data.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2024-03-04 (Big Data)
- NEP-CMP-2024-03-04 (Computational Economics)
- NEP-RMG-2024-03-04 (Risk Management)
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