Efficient estimation of a risk measure requiring two-stage simulation optimization
Tianxiang Wang, Jie Xu, Jian-Qiang Hu, Chun-Hung Chen
| Year of publication: |
2023
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|---|---|
| Authors: | Wang, Tianxiang ; Xu, Jie ; Hu, Jian-Qiang ; Chen, Chun-hung |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 3 (16.3.), p. 1355-1365
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| Subject: | Simulation | Two-stage simulation optimization | Risk measure | Optimal computing budget allocation | Theorie | Theory | Risikomaß | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Messung | Measurement | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.06.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013498797