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Conditional value-at-risk approximation to value-at-risk constrained programs : a remedy via Monte Carlo
Hong, L. Jeff; Hu, Zhaolin; Zhang, Liwei - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 385-400
Persistent link: https://www.econbiz.de/10010362435
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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327
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Analyzing carbon pricing policies using a general equilibrium model with production parameters estimated using firm data
Cao, Jing; Ho, Mun; Ma, Rong - In: Energy economics 92 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012519991
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
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Estimating sensitivities of portfolio credit risk using Monte Carlo
Hong, L. Jeff; Juneja, Sandeep; Luo, Jun - In: INFORMS journal on computing : JOC 26 (2014) 4, pp. 848-865
Persistent link: https://www.econbiz.de/10010477690
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Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff; Juneja, Sandeep; Liu, Guangwu - In: Operations research 65 (2017) 3, pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
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Learning-based robust optimization : procedures and statistical guarantees
Hong, L. Jeff; Huang, Zhiyuan; Lam, Henry - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3447-3467
Persistent link: https://www.econbiz.de/10012606927
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A new likelihood ratio method for training artificial neural networks
Peng, Yijie; Xiao, Li; Heidergott, Bernd; Hong, L. Jeff; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 638-655
Persistent link: https://www.econbiz.de/10013361323