Optimally stratified importance sampling for portfolio risk with multiple loss thresholds (Q5746726): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/02331934.2013.852547 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2227481595 / rank | |||
Normal rank | |||
Revision as of 00:49, 20 March 2024
scientific article; zbMATH DE number 6256419
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimally stratified importance sampling for portfolio risk with multiple loss thresholds |
scientific article; zbMATH DE number 6256419 |
Statements
Optimally stratified importance sampling for portfolio risk with multiple loss thresholds (English)
0 references
7 February 2014
0 references
risk management
0 references
stratification
0 references
importance sampling
0 references
linear asset portfolio
0 references
\(t\)-copula
0 references
