Efficient VaR and CVaR Measurement via Stochastic Kriging

DOI10.1287/IJOC.2016.0705zbMath1414.91421OpenAlexW2513195558MaRDI QIDQ2960358

Kyoung-Kuk Kim, Xi Chen

Publication date: 8 February 2017

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2016.0705

zbMATH Keywords

experimental designmetamodelingsimulation output analysissimulation theory

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (6)

A Multilevel Simulation Optimization Approach for Quantile Functions ⋮ Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation ⋮ Quantile regression metamodeling: toward improved responsiveness in the high-tech electronics manufacturing industry ⋮ Faster Kriging: Facing High-Dimensional Simulators ⋮ Sparse polynomial chaos expansion for universal stochastic kriging ⋮ Enhancing response predictions with a joint Gaussian process model for stochastic simulation models

Uses Software

• bootstrap

Cites Work

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