Research
On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Sep 202519922001200920172026
2 results for “DCVaR”
A Martingale approach to continuous Portfolio Optimization under CVaR like constraintsmath.OC

Study a continuous portfolio optimization with a new CVaR-like constraint using martingale approach.

problem Optimizing a portfolio under a new CVaR-like constraint that is not compatible with traditional methods.
method Follows a martingale approach in a complete market setting, solving a convex constrained minimization problem.
result Obtains a tractable and interpretable characterization of the optimal strategy.
portfolio optimizationCVaRDCVaRmartingaleconditional value-at-risk
2025-09-30abs ↗pdf ↗
Multi periods mean-DCVaR optimization: a Recursive Neural Network resolutionq-fin.PM

Optimizes multi-period portfolios with tail-risk constraints using neural networks.

problem Maximizing expected return while managing tail-risk constraints over multiple periods.
method Recurrent neural network approach to approximate optimal policy.
result Validated in financial and insurance models, capturing long-term risk dynamics.
portfolio optimizationtail-riskDCVaRneural networksreinsurance
2026-04-09abs ↗pdf ↗