Online Risk Monitoring Using Offline Simulation

DOI10.1287/ijoc.2019.0892OpenAlexW2981929689MaRDI QIDQ3386770

Barry L. Nelson, Guang-Xin Jiang, L. Jeff Hong

Publication date: 7 January 2021

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/152635/1/JiangHongNelson2020AAM.pdf

zbMATH Keywords

classificationMonte Carlo simulationlogistic regressionvariance reductionLassosimulation analytics

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Statistical Tests for Cross-Validation of Kriging Models ⋮ On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation ⋮ An enhanced GRASP approach for the index tracking problem

Uses Software

• glmnet

Cites Work

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