Aerambamoorthy Thavaneswaran, You Liang, Na Yu, Alex Paseka, Ruppa K. Thulasiram. Novel Data-Driven Resilient Portfolio Risk Measures Using Sign and Volatility Correlations. In IEEE 45th Annual Computers, Software, and Applications Conference, COMPSAC 2021, Madrid, Spain, July 12-16, 2021. pages 1742-1747, IEEE, 2021. [doi]
Abstract is missing.