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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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Computing sensitivities for distortion risk measures
Glynn, Peter W.
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
INFORMS journal on computing : JOC
33
(
2021
)
4
,
pp. 1520-1532
Persistent link: https://www.econbiz.de/10012796944
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