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Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling.

Olivier BardouNoufel FrikhaGilles Pagès
Published in: Monte Carlo Methods Appl. (2009)
Keyphrases
  • importance sampling
  • stochastic approximation
  • monte carlo
  • risk measures
  • robust optimization
  • markov chain
  • particle filter
  • approximate inference
  • kalman filter
  • pairwise
  • temporal difference