Technical Note—Bootstrap-based Budget Allocation for Nested Simulation

DOI10.1287/OPRE.2020.2071OpenAlexW3133000147MaRDI QIDQ5080667FDOQ5080667

Authors: Kun Zhang, Guangwu Liu, Shiyu Wang 

Publication date: 31 May 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2020.2071

zbMATH Keywords

simulationconfidence intervalsnested simulationbudget allocationbootstrap sampling

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Efficient nested simulation for estimating the variance of a conditional expectation
• Nested simulation in portfolio risk measurement
• Order Statistics
• Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
• Efficient risk estimation via nested sequential simulation
• Lectures on stochastic programming. Modeling and theory.
• Risk estimation via regression
• MCMC design-based non-parametric regression for rare event. application to nested risk computations
• Kernel smoothing for nested estimation with application to portfolio risk measurement
• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• Green Simulation

Cited In (2)

• Technical note—Constructing confidence intervals for nested simulation
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

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