Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
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Publication:3654434
DOI10.1515/MCMA.2009.011zbMath1185.91091arXiv0812.3381MaRDI QIDQ3654434
Gilles Pagès, Noufel Frikha, Olivier Bardou
Publication date: 6 January 2010
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.3381
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic approximation (62L20)
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