Simulating sensitivities of Conditional value at risk

Management Science

Volumn 55, Issue 2, 2009, Pages 281-293

  Hong, L Jeff ^a   Liu, Guangwu ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

Applications; Portfolio; Simulation; Statistical analysis

Indexed keywords

ASYMPTOTIC PROPERTIES; COHERENT RISK MEASURES; CONDITIONAL EXPECTATION; CONDITIONAL VALUE-AT-RISK; LOSS DISTRIBUTION; MONTE CARLO SIMULATION; NATURAL RISKS; NUMERICAL RESULTS; OPTIMIZATION PROBLEMS; PORTFOLIO; SIMULATION; STATISTICAL ANALYSIS;

ESTIMATION; LINEARIZATION; MONTE CARLO METHODS; RISK PERCEPTION; VALUE ENGINEERING;

RISK ASSESSMENT;

EID: 67649980327     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1080.0901     Document Type: Article

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