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.
2000
Atti del Ventiquattresimo Convegno Annuale A.M.A.S.E.S.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/5782
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