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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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2
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua
;
Hong, L. Jeff
- In:
Operations research letters
38
(
2010
)
4
,
pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
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3
Conditional value-at-risk approximation to value-at-risk constrained programs : a remedy via Monte Carlo
Hong, L. Jeff
;
Hu, Zhaolin
;
Zhang, Liwei
- In:
INFORMS journal on computing : JOC
26
(
2014
)
2
,
pp. 385-400
Persistent link: https://www.econbiz.de/10010362435
Saved in:
4
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
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