Utility-based shortfall risk: Efficient computations via Monte Carlo (Q3120078)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility-based shortfall risk: Efficient computations via Monte Carlo |
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Utility-based shortfall risk: Efficient computations via Monte Carlo (English)
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1 March 2019
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asymptotic normality
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convex risk measure
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sample average approximation
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simulation
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