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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
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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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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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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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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