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Found 3 papers, 1 papers with code
Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR
In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested.
Automatic deforestation detectors based on frequentist statistics and their extensions for other spatial objects
This paper is devoted to the problem of detection of forest and non-forest areas on Earth images.
Bayesian Quantile-Based Portfolio Selection
By using simulation and real market data, we compare the new Bayesian approach to the conventional method by studying the performance and existence of the global minimum VaR portfolio and by analysing the estimated efficient frontiers.
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