Institution
Institute of Informatics Problems
Facility•
About: Institute of Informatics Problems is a facility organization based out in . It is known for research contribution in the topics: Computer science & Engineering. The organization has 9 authors who have published 10 publications receiving 5 citations. The organization is also known as: Federal State Institution of Science Institute of Informatics Problems of the Russian Academy of Sciences.
Topics: Computer science, Engineering, Control (management), Big data, Biology
Papers
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3 citations
01 Jan 2022
2 citations
26 Sep 2022
TL;DR: In this article , the problem of using the continuum VaR criterion (CC-VaR) in financial markets has been studied and a combined portfolio is constructed based on discrepancies in relative returns within each market and between markets, and the requirements of the criterion should be maintained.
Abstract: The report continues research on the problems of using the continuum VaR criterion (CC-VaR) in financial markets. We are talking about the application of CC-VaR on a combination of one two-dimensional and two one-dimensional theoretical single-period options markets, partially interconnected by underlying assets. Construction of the optimal cc-var A combined portfolio is conducted based of discrepancies in relative returns within each market and between markets, and the requirements of the criterion should be maintained.
01 Jan 2023
Authors
Showing all 9 results
| Name | H-index | Papers | Citations |
|---|---|---|---|
| Martin J. D'Souza | 1 | 1 | 3 |
| Chunya WU | 0 | 1 | 0 |
| Wenjie Pei | 0 | 1 | 0 |
| G. N. Shumkin | 0 | 1 | 0 |
| Yolanda Maria Lemes | 0 | 1 | 0 |
| R Sai Shiva Jayanth | 0 | 1 | 0 |
| Yu You | 0 | 1 | 0 |
| W. Theobald | 0 | 1 | 0 |
| Catherine M. Rakow | 0 | 1 | 0 |