利用深度神经网络分担风险

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-02-13 DOI:10.1080/14697688.2024.2307493

M. Burzoni, A. Doldi, E. Monzio Compagnoni

引用次数: 0

摘要

我们考虑的问题是，如何在具有潜在不同参考风险度量的代理人之间以最佳方式分享财务头寸。这个问题等同于计算...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Risk sharing with deep neural networks

We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.