Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling

Monte Carlo Methods and Applications

Volumn 15, Issue 3, 2009, Pages 173-210

  Bardou, O ^a   Frikha, N ^a   Pages G ^a  

^a SORBONNE UNIVERSITÉ   (France)

Author keywords

CVaR; Girsanov; Importance sampling; Robbins Monro algorithm; Stochastic approximation; VaR

Indexed keywords

EID: 84858376062     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/MCMA.2009.011     Document Type: Article

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