An importance sampling method for portfolio CVaR estimation with Gaussian copula models.
Pu HuangDharmashankar SubramanianJie XuPublished in: WSC (2010)
Keyphrases
- monte carlo simulation
- maximum likelihood
- parameter estimation
- portfolio selection
- statistical models
- probabilistic model
- complex systems
- nonparametric estimation
- parametric models
- experimental data
- portfolio optimization
- estimation algorithm
- statistical methods
- neural network
- statistical model
- model selection
- multiscale