Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (Q5131004)
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scientific article; zbMATH DE number 7268660
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| English | Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall |
scientific article; zbMATH DE number 7268660 |
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Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (English)
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31 October 2020
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quasi-Monte Carlo method
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expected shortfall
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conditional value-at-risk
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0.7689776420593262
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0.7648224830627441
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0.762570321559906
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0.7589678764343262
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0.755852460861206
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