Nested Simulation in Portfolio Risk Measurement
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Publication:3117320
DOI10.1287/mnsc.1100.1213zbMath1232.91622OpenAlexW3125471937MaRDI QIDQ3117320
Michael B. Gordy, Sandeep Juneja
Publication date: 27 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/feds/2008/200821/200821pap.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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