Runtime Analysis of Risk Measure Computation on Stock Market Portfolio Returns
0.01Mean Latency (ms)E
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Ealpha=0.95, number of runs=102026.07 | 0.01 | 0 | |
| QVaRalpha=0.95, number of runs=102026.07 | 0.13 | 0.02 | |
| QCVaRalpha=0.95, number of runs=102026.07 | 0.22 | 0.03 | |
| QTVaRalpha=0.95, number of runs=102026.07 | 0.25 | 0.05 | |
| VaRalpha=0.95, number of runs=102026.07 | 0.37 | 0 | |
| CVaRalpha=0.95, number of runs=102026.07 | 0.39 | 0 | |
| TVaRalpha=0.95, number of runs=102026.07 | 0.4 | 0.01 |