Simulation-based Value-at-Risk for nonlinear portfolios
Sign Up to like & getrecommendations! Published in 2019 at "Quantitative Finance"
DOI: 10.1080/14697688.2019.1598568
Abstract: Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of portfolios with option positions. Its effectiveness, however,… read more here.
Keywords: value risk; risk; simulation based; based value ... See more keywords
Point-Based Value Iteration for VAR-POMDPs
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DOI: 10.1109/lcsys.2020.3046373
Abstract: Partially observable Markov decision processes have been widely adopted in the automatic planning literature since it elegantly captures both execution and observation uncertainties. In our previous paper, we proposed a model called vector autoregressive partially… read more here.
Keywords: based value; point based; value; value iteration ... See more keywords
Plasma Metabolomic Profiling Reveals Preliminary Biomarkers of Pork Quality Based on pH Value
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DOI: 10.3390/foods11244005
Abstract: This study aimed to identify biomarkers for pork quality evaluation. Firstly, the correlation between indicators of pork quality evaluation was investigated. The pH of pork meat at 45 min post slaughter showed a significant negative… read more here.
Keywords: quality based; pork quality; plasma; biomarkers pork ... See more keywords