Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (Q3122061)

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Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
scientific article

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    title
    Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (English)
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    DOI
    10.1137/17M1158380
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    author
    J. Risk
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    Michael Ludkovski
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    publication date
    20 March 2019
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    Mathematics Subject Classification ID
    91G70
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    91G10
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    62L05
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    zbMATH DE Number
    7039282
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    zbMATH Keywords
    value-at-risk estimation
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    Gaussian process regression
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    sequential design
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    nested simulation
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    portfolio tail risk
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    describes a project that uses
    StMoMo
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    DiceOptim
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    DiceKriging
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    KrigInv
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    arXiv ID
    1710.05204
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    cites work
    Q3953128
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    Matrix computations.
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    Q3394879
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    OpenAlex ID
    W2767131001
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