Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement
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- Liu, Xiaoyu & Yan, Xing & Zhang, Kun, 2024. "Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1168-1177.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2022-05-09 (Computational Economics)
- NEP-ECM-2022-05-09 (Econometrics)
- NEP-RMG-2022-05-09 (Risk Management)
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