Optimally stratified importance sampling for portfolio risk with multiple loss thresholds (Q5746726)
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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 |
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Optimally stratified importance sampling for portfolio risk with multiple loss thresholds (English)
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7 February 2014
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risk management
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stratification
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importance sampling
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linear asset portfolio
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\(t\)-copula
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