Computation of Expected Shortfall by fast detection of worst scenarios
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DOI: 10.1080/14697688.2021.1880618
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References listed on IDEAS
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More about this item
Keywords
Expected Shortfall; ranking and selection; sequential design; Bayesian filter;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2023-02-20 (Computational Economics)
- NEP-RMG-2023-02-20 (Risk Management)
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