Portfolio Risk Measurement via Stochastic Mesh with Average Weight-Reference-Cited by-同舟云学术

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Portfolio Risk Measurement via Stochastic Mesh with Average Weight

Published:2022-12-11 Issue: Volume: Page:
ISSN:
Container-title:2022 Winter Simulation Conference (WSC)
language:
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Author:

Feng Ben¹,Liu Guangwu²,Zhang Kun³

Affiliation:

1. University of Waterloo,Department of Statistics and Actuarial Science,Canada,200 University Ave W Waterloo

2. City University of Hong Kong,College of Business,Department of Management Sciences,Kowloon Tong Honkong,China,999077

3. Institute of Statistics and Big Data Renmin University of China,Beijing,P. R. CHINA,100872

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/10015196/10015230/10015494.pdf?arnumber=10015494

Reference25 articles.

1. Computing the variance of a conditional expectation via non-nested Monte Carlo

2. Nested Simulation in Portfolio Risk Measurement

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