L. Jeff Hong's Research Group
L. Jeff Hong's Research Group
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Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo
Hong, L. J., Z. Hu, and L. Zhang
January 2014
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Journal article
Publication
INFORMS Journal on Computing, 26:385-400
Monte Carlo Methods in Stochastic Programming
Monte Carlo methods in Financial Engineering
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Monte Carlo methods for value-at-risk and conditional value-at-risk: A review
Meaningful sensitivities: A new family of simulation sensitivity measures
Robust simulation with likelihood-ratio constrained input uncertainty
Learning-based robust optimization procedures and statistical guarantee
Option Pricing By Neural Stochastic Differential Equations: A Simulation-optimization Approach
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