Technical note—Constructing confidence intervals for nested simulation

DOI10.1002/NAV.22075MaRDI QIDQ6054413zbMATH OpenFDO

Authors Hong-Fa Cheng, Xiaoyu Liu, Kun Zhang

Publication date 24 October 2023

Published in Naval Research Logistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/NAV.22075

zbMATH Keywords

confidence intervalsnested simulationcentral limit theoremsrisk measurement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)

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Cites work

• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• Approximation theorems of mathematical statistics
• 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
• Kernel smoothing for nested estimation with application to portfolio risk measurement
• Lectures on stochastic programming. Modeling and theory.
• Nested simulation in portfolio risk measurement
• Risk estimation via regression
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Technical Note—Bootstrap-based Budget Allocation for Nested Simulation

Cited in

(5)

• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
• Nested Simulations: Theory and Application
• 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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