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Importance sampling for jump p...
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Risk measure
importance sampling
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132
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Hoogerheide, Lennart
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Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012821981
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A risk-averse location-protection problem under intentional facility disruptions : a modified hybrid decomposition algorithm
Jalali, Sajjad
;
Seifbarghy, Mehdi
;
Niaki, Seyed Taghi …
- In:
Transportation research / E : an international journal
114
(
2018
),
pp. 196-219
Persistent link: https://www.econbiz.de/10011870632
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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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Risk averse shortest paths : a computational study
Chicoisne, Renaud
;
Ordóñez, Fernando
;
Espinoza, Daniel
- In:
INFORMS journal on computing : JOC
30
(
2018
)
3
,
pp. 539-553
Persistent link: https://www.econbiz.de/10011948091
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5
Data-driven satisficing measure and ranking
Huang, Wenjie
- In:
Journal of the Operational Research Society
71
(
2020
)
3
,
pp. 456-474
Persistent link: https://www.econbiz.de/10012216628
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Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk
Rezaei, Shahrbanoo
;
Ghalehkhondabi, Iman
;
Rafiee, Majid
; …
- In:
Opsearch : journal of the Operational Research Society …
57
(
2020
)
3
,
pp. 908-934
Persistent link: https://www.econbiz.de/10012302376
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The effect of regularization in portfolio selection problems
Pagnoncelli, Bernardo K.
;
Canto, Felipe del
;
Cifuentes, …
- In:
Top : an official journal of the Spanish Society of …
29
(
2021
)
1
,
pp. 156-176
Persistent link: https://www.econbiz.de/10012498983
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8
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
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9
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
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10
Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
;
Xu, Ziqing
- In:
Insurance : mathematics and economics
115
(
2024
),
pp. 132-150
Persistent link: https://www.econbiz.de/10015066737
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