Technical note—Constructing confidence intervals for nested simulation

DOI10.1002/nav.22075zbMath1527.91181MaRDI QIDQ6054413

Xiaoyu Liu, Hong-Fa Cheng, Kun Zhang

Publication date: 24 October 2023

Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)

zbMATH Keywords

confidence intervalscentral limit theoremsnested simulationrisk measurement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)

Related Items (1)

Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

Cites Work

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• Stochastic calculus for finance. I: The binomial asset pricing model.
• Risk Estimation via Regression
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• Nested Simulation in Portfolio Risk Measurement
• Computing the distribution function of a conditional expectation via monte carlo
• Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
• Technical Note—Bootstrap-based Budget Allocation for Nested Simulation
• Efficient Risk Estimation via Nested Sequential Simulation

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