Asymmetric Change-of-Probability Measures for Tail Risk Management

Saeede Enayati, Hossein Pishro-Nik. Asymmetric Change-of-Probability Measures for Tail Risk Management. In IEEE International Systems Conference, SysCon 2022, Montreal, QC, Canada, April 25-28, 2022. pages 1-7, IEEE, 2022. [doi]

Abstract

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