A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
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DOI: 10.1287/opre.1090.0792
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- Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
- Michael B. Gordy & Sandeep Juneja, 2010.
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- L. Jeff Hong & Guangxin Jiang & Ying Zhong, 2022. "Solving Large-Scale Fixed-Budget Ranking and Selection Problems," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 2930-2949, November.
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- Kleijnen, Jack P.C., 2013. "Simulation-Optimization via Kriging and Bootstrapping : A Survey (Revision of CentER DP 2011-064)," Other publications TiSEM 6ac4e049-ad86-447f-aeec-a, Tilburg University, School of Economics and Management.
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Keywords
conditional value-at-risk; worst conditional expectation; tail conditional expectation; conditional tail expectation; expected shortfall; empirical likelihood; two-level simulation; simulation; design of experiments; two-level simulation; simulation; efficiency; screening methods; finance; portfolio; risk management;All these keywords.
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