Convegno organizzato dall'Università degli Studi di Brescia e tenuto in località Padenghe sul Garda (BS)
In this work we propose a V.a.R.-like decision method which is close to the one using past history. In particular, we empirically reconstruct the conditional distribution of the analyzed financial returns using two soft-computing techniques which are, respectively, based on fuzzy non-parametric estimation and on polynomial artificial neural network.
A 2-stage fuzzy-GMDH approach for a V.a.R.-like decision method
CORAZZA, Marco
;GIOVE, Silvio
2000-01-01
Abstract
In this work we propose a V.a.R.-like decision method which is close to the one using past history. In particular, we empirically reconstruct the conditional distribution of the analyzed financial returns using two soft-computing techniques which are, respectively, based on fuzzy non-parametric estimation and on polynomial artificial neural network.
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