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Nested
Simulation
in Portfolio Risk Measurement
Gordy, Michael B.
;
Juneja, Sandeep
- In:
Management Science
56
(
2010
)
10
,
pp. 1833-1848
Risk measurement for derivative portfolios almost invariably calls for
nested
simulation
. In the outer step, one draws …
Persistent link: https://www.econbiz.de/10009208440
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