On variance reduction of mean-CVaR Monte Carlo estimators
نویسنده
چکیده
منابع مشابه
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are important risk measures. They are often estimated by using importance sampling (IS) techniques. In this paper, we derive the asymptotic representations for IS estimators of VaR and CVaR. Based on these representations, we are able to prove the consistency and asymptotic normality of the estimators and to provide simple conditions unde...
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عنوان ژورنال:
- Comput. Manag. Science
دوره 12 شماره
صفحات -
تاریخ انتشار 2015