Optimally stratified importance sampling for portfolio risk with multiple loss thresholds

DOI10.1080/02331934.2013.852547zbMath1280.91190OpenAlexW2227481595MaRDI QIDQ5746726

İsmail Başoğlu, Wolfgang Hörmann, Halis Sak

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.852547

zbMATH Keywords

stratificationimportance samplingrisk management\(t\)-copulalinear asset portfolio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Convex programming (90C25) Monte Carlo methods (65C05) Portfolio theory (91G10)

Related Items (3)

Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ Efficient simulations for a Bernoulli mixture model of portfolio credit risk ⋮ Optimization Methods in Mathematical Finance

Uses Software

• KNITRO

Cites Work

• Adaptive optimal allocation in stratified sampling methods
• Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Variance Reduction Techniques for Estimating Value-at-Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• A Limited Memory Algorithm for Bound Constrained Optimization
• Fast simulations in credit risk

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