Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
Year of publication: |
2022
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Authors: | He, Zhijian |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 1 (1.4.), p. 229-242
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Subject: | Conditional value at risk | Quasi-Monte Carlo | Sensitivity estimation | Simulation | Value at risk | Theorie | Theory | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation |
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