Conditional Monte Carlo estimation of quantile sensitivities
Michael C. Fu; L. Jeff Hong; Jian-qiang Hu
| Year of publication: |
2009
|
|---|---|
| Authors: | Fu, Michael ; Hong, L. Jeff ; Hu, Jian-Qiang |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 55.2009, 12, p. 2019-2027
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| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Schätzung | Estimation | Operations Research | Operations research |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003928512