Simulation of coherent risk measures

Proceedings - Winter Simulation Conference

Volumn 2, Issue , 2004, Pages 1579-1584

  Lesnevski, Vadim ^a   Nelson, Barry L ^a   Staum, Jeremy ^a  

^a Northwestern University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTATION THEORY; COMPUTER SIMULATION; DECISION MAKING; ESTIMATION; FINANCE; PROBABILITY;

COHERENT RISK MEASURES; COMPUTATIONAL EFFICIENCY; COMPUTATIONAL RESOURCES; SECURITY PRICING;

RISK ASSESSMENT;

EID: 17744389431     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (7)

1. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. 1999. Coherent measures of risk. Mathematical Finance 9: 203-228.
2. Chen, H. J., and E. J. Dudewicz. 1976. Procedures for fixed-width interval estimation of the largest normal mean. Journal of the American Statistical Association 71: 752-756.
3. Dudewicz, E. J. 1971. Maximum likelihood estimates for ranked means. Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 35: 283-297.
4. Hochberg, Y., and A. C. Tamhane. 1987. Multiple Comparison Procedures. New York: John Wiley & Sons.
5. Jaschke, S., and U. Küchler. 2001. Coherent risk measures and good-deal bounds. Finance and Stochastics 5: 181-200.
6. Nelson, B. L., J. Swann, D. Goldsman, and W. Song. 2001. Simple procedures for selecting the best simulated system when the number of alternatives is large. Operations Research 49: 950-963.
7. Staum, J. 2004. Fundamental theorems of asset pricing for good deal bounds. Mathematical Finance 14: 141-161.