Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Xiaoyu Liu, Xing Yan, Kun Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Liu, Xiaoyu ; Yan, Xing ; Zhang, Kun |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 312.2024, 3 (1.2.), p. 1168-1177
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| Subject: | Bandwidth selection | Budget allocation | Kernel quantile estimator | Simulation | Value-at-risk | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.07.040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014456483