Efficient randomized quasi-Monte Carlo methods for portfolio market risk
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Publication:2404543
DOI10.1016/j.insmatheco.2017.07.001zbMath1395.91502arXiv1510.01593OpenAlexW2178359960MaRDI QIDQ2404543
Publication date: 19 September 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.01593
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Portfolio theory (91G10)
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Cites Work
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