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Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement.

Xiaoyu LiuXing YanKun Zhang
Published in: Eur. J. Oper. Res. (2024)
Keyphrases
  • decision making
  • support vector
  • similarity measure
  • multi agent
  • feature space
  • kernel function
  • mathematical model
  • risk measures