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Novel Data-Driven Resilient Portfolio Risk Measures Using Sign and Volatility Correlations

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]

Authors

Aerambamoorthy Thavaneswaran

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You Liang

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Na Yu

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Alex Paseka

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Ruppa K. Thulasiram

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