Sample average approximation of CVaR-based hedging problem...

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Sample average approximation of CVaR-based hedging problem with a deep-learning solution

Peng, Cheng, Li, Shuang, Zhao, Yanlong, Bao, Ying
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Journal:
The North American Journal of Economics and Finance
DOI:
10.1016/j.najef.2020.101325
Date:
November, 2020
File:
PDF, 1.07 MB
2020
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