Efficient estimation of a risk measure requiring two-stage simulation optimization

DOI10.1016/J.EJOR.2022.06.028OpenAlexW4283029450MaRDI QIDQ2103034FDOQ2103034

Authors: Tianxiang Wang, Jie Xu, Jianqiang Hu, Chun-Hung Chen 

Publication date: 12 December 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.06.028

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zbMATH Keywords

simulationrisk measureoptimal computing budget allocationtwo-stage simulation optimization

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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Cited In (2)

• Robust Simulation for Mega-Risks
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

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