Utility-based shortfall risk : efficient computations via Monte Carlo
Zhaolin Hu, Dali Zhang
| Year of publication: |
2018
|
|---|---|
| Authors: | Hu, Zhaolin ; Zhang, Dali |
| Published in: |
Naval research logistics : an international journal. - New York, NY : Wiley, ISSN 1520-6750, ZDB-ID 1465691-7. - Vol. 65.2018, 5, p. 378-392
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| Subject: | asymptotic normality | convex risk measure | sample average approximation | simulation | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Risiko | Risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory | Messung | Measurement |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/nav.21814 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969327