Name
Abstract | ||
|---|---|---|
We develop an importance sampling (IS) algorithm to estimate the lower tail of the distribution of returns for a discretely rebalanced portfolio --- one in which portfolio weights are reset at regular intervals. We use a more tractable continuously rebalanced portfolio to design the IS estimator. We analyze a limiting regime based on estimating probabilities farther in the tail while letting the rebalancing frequency increase. We show that the estimator is asymptotically efficient for this sequence of problems; its relative error grows in proportion to the fourth root of the number of rebalancing dates. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1109/WSC.2010.5678961 | Winter Simulation Conference |
Keywords | Field | DocType |
importance sampling,investment,probability,IS estimator,discretely rebalanced portfolio,importance sampling algorithm,probability estimation,tail risk | Econometrics,Convergence (routing),Importance sampling,Algorithm design,Portfolio,Tail risk,Statistics,Approximation error,nth root,Mathematics,Estimator | Conference |
ISSN | ISBN | Citations |
0891-7736 | 978-1-4244-9866-6 | 0 |
PageRank | References | Authors |
0.34 | 1 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Paul Glasserman | 1 | 496 | 95.86 |
| Xingbo Xu | 2 | 0 | 0.34 |