On variance reduction of mean-CVaR Monte Carlo estimators

Computational Management Science 2015 / 4 Vol. 12; Iss. 2

On variance reduction of mean-CVaR Monte Carlo estimators

Kozmík, Václav
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Volume:
12
Language:
english
Journal:
Computational Management Science
DOI:
10.1007/s10287-014-0225-7
Date:
April, 2015
File:
PDF, 561 KB
english, 2015
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