Nested Simulation in Portfolio Risk Measurement

Abstract

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DOI: 10.1287/mnsc.1100.1213

Extracted Key Phrases

Showing 1-5 of 5 references

FRB/TIFR) Nested Simulation

  • Gordy, Juneja
  • 2008

FRB/TIFR) Nested Simulation April 2008 14 / 28 Bias in Gaussian example Parameters: ν = 3

  • Gordy, Juneja

Nested Simulation April 2008 19 / 28 Optimal allocation as portfolio size varies Budget is Γ ∝ N · L for K = 100 and grows linearly with K . Parameters: ν = 3

  • Juneja ( Frb Gordy, Tifr

Optimal N in Gaussian

RMSE in Gaussian

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