Similar Search Results

An efficient simulation optimization method for the generalized redundancy allocation problem

Chang, Kuo-Hao; Kuo, Po-Yi - In: European journal of operational research : EJOR 265 (2018) 3, pp. 1094-1101

Persistent link: https://www.econbiz.de/10011778928

Conditional Monte Carlo Estimation of Quantile Sensitivities

Fu, Michael C.; Hong, L. Jeff; Hu, Jian-Qiang - In: Management Science 55 (2009) 12, pp. 2019-2027

Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile...

Persistent link: https://www.econbiz.de/10009208830

Conditional Monte Carlo estimation of quantile sensitivities

Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027

Persistent link: https://www.econbiz.de/10003928512

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

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

Online risk monitoring using offline simulation

Jiang, Guangxin; Hong, L. Jeff; Nelson, Barry L. - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 356-375

Persistent link: https://www.econbiz.de/10012242763

Monte Carlo estimation of CoVaR

Huang, Weihuan; Lin, Nifei; Hong, L. Jeff - In: Operations research 72 (2024) 6, pp. 2337-2357

Persistent link: https://www.econbiz.de/10015371407