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1 Ergebnisse
1
Variance Reduction Techniques for Estimating Value-at-Risk:
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
Management Science. 46 (2000) 10 - p. 1349-1364 , 2000
Link:
https://www.jstor.org/stable/2661652
RT Journal T1
Variance Reduction Techniques for Estimating Value-at-Risk
UL https://suche.suub.uni-bremen.de/peid=jstor-2661652&Exemplar=1&LAN=DE A1 Glasserman, Paul A1 Heidelberger, Philip A1 Shahabuddin, Perwez PB Institute for Operations Research and the Management Sciences YR 2000 SN 0025-1909 SN 1526-5501 K1 Value-at-Risk K1 Monte Carlo K1 Simulation K1 Variance Reduction Technique K1 Importance Sampling K1 Stratified Sampling K1 Rare Event K1 Health sciences K1 Health and wellness K1 Public health K1 Epidemiology K1 Disease risk K1 Predisposing factors K1 Mathematics K1 Mathematical procedures K1 Approximation K1 Economics K1 Economic disciplines K1 Financial economics K1 Finance K1 Financial investments K1 Financial portfolios K1 Quadratic approximation K1 Applied mathematics K1 Statistics K1 Applied statistics K1 Inferential statistics K1 Statistical estimation K1 Estimation methods K1 Descriptive statistics K1 Statistical distributions K1 Distribution functions K1 Probability distributions K1 Mathematical moments K1 Estimators K1 Statistical results K1 Statistical properties K1 Estimate reliability K1 Pure mathematics K1 Linear algebra K1 Matrix theory K1 Eigenvalues K1 Confidence interval JF Management Science VO 46 IS 10 SP 1349 OP 1364 LK http://dx.doi.org/https://www.jstor.org/stable/2661652 DO https://www.jstor.org/stable/2661652 SF ELIB - SuUB Bremen
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