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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.

168,982 papers · 148 categories

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1 result for “SlideVaR”
SlideVaR: a risk measure with variable risk attitudesq-fin.RM

SlideVaR balances risk and prudence by considering variable investor attitudes.

problem Finding a risk measure that reflects variable investor attitudes and market changes.
method Introducing SlideVaR, a new risk measure that considers risk-tail regions and sub-additivity.
result SlideVaR outperforms traditional measures in markets with frequent state changes.
risk managementvariable risk attitudesprudenceSlideVaRmarket changes
2019-07-27abs ↗pdf ↗