Simulating confidence intervals for conditional value-at-risk via least-squares metamodels
Qidong Lai, Guangwu Liu, Bingfeng Zhang, Kun Zhang
| Year of publication: |
2025
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| Authors: | Lai, Qidong ; Liu, Guangwu ; Zhang, Bingfeng ; Zhang, Kun |
| Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 37.2025, 4, p. 1087-1105
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| Subject: | conditional value-at-risk | confidence interval | portfolio risk measurement | simulation | Simulation | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Risiko | Risk | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2023.0394 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015453444