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Simulating Sensitivities of Conditional Value at Risk - MaRDI portal

Simulating Sensitivities of Conditional Value at Risk (Q3117797)

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Simulating Sensitivities of Conditional Value at Risk
scientific article

    Statements

    title
    Simulating Sensitivities of Conditional Value at Risk (English)
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    author
    L. Jeff Hong
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    Guangwu Liu
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    publication date
    1 March 2012
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    zbMATH Keywords
    simulation
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    statistical analysis
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    portfolio
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G70
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    91G10
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    91B30
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    65C05
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    zbMATH DE Number
    6010229
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    OpenAlex ID
    W2107828625
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