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stat.ML2026
ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall
Yichi Zhang, Ke Zhu, Zhoufan Zhu
Learning Value-at-Risk (VaR) and Expected Shortfall (ES) is important for managing financial risks effectively. Existing approaches with limited parameters are vulnerable to model…
stat.ML2023
Big portfolio selection by graph-based conditional moments method
Zhoufan Zhu, Ningning Zhang, Ke Zhu
How to do big portfolio selection is very important but challenging for both researchers and practitioners. In this paper, we propose a new graph-based conditional moments (GRACE)…