Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement (Q6066180)
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scientific article; zbMATH DE number 7765846
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement |
scientific article; zbMATH DE number 7765846 |
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Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement (English)
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15 November 2023
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simulation
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value-at-risk
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kernel quantile estimator
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bandwidth selection
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budget allocation
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