Technical Note—Bootstrap-based Budget Allocation for Nested Simulation

DOI10.1287/OPRE.2020.2071MaRDI QIDQ5080667zbMATH OpenOpenAlexFDO

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

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

Cited in

(6)

• Nested simulation for conditional value-at-risk with discrete losses
• Technical note—Constructing confidence intervals for nested simulation
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
• Improved convergence rate of nested simulation with LSE on sieve
• Blackbox simulation optimization
• A bootstrap-based bandwidth selection rule for kernel quantile estimators

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