Paper Info
Title
An adaptive procedure for estimating coherent risk measures based on generalized scenarios
Abstract
Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a collection of simulated "systems." We present a procedure for generating a fixed-width confidence interval for this coherent risk measure. The procedure improves upon previous methods by being reliably efficient for simulation of generalized scenarios and portfolios with heterogeneous characteristics.
Year
DOI
Venue
2006
10.1109/WSC.2006.323153
Winter Simulation Conference
Keywords
Field
DocType
heterogeneous characteristic,adaptive procedure,coherent risk measure,maximum expected value,previous method,coherent risk,generalized scenario,fixed-width confidence interval,risk management,finance,expected value,confidence interval
Econometrics,Coherent risk measure,Computer science,Risk management,Expected value,Statistics,Confidence interval
Conference
ISBN
Citations 
PageRank 
1-4244-0501-7
2
1.05
References 
Authors
4
3
Name
Order
Citations
PageRank
Vadim Lesnevski1203.22
Barry L. Nelson21876257.62
Jeremy Staum37613.25