Simulating Sensitivities of Conditional Value at Risk
Published Online:5 Sep 2008https://doi.org/10.1287/mnsc.1080.0901
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mnsc.1080.0901-sm-ec.pdf (213 KB)
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Volume 55, Issue 2
February 2009
Pages iv-332
Article Information
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- Received:August 19, 2007
- Published Online:September 05, 2008
Copyright © 2009, INFORMS
Cite as
L. Jeff Hong, Guangwu Liu, (2008) Simulating Sensitivities of Conditional Value at Risk. Management Science 55(2):281-293.
https://doi.org/10.1287/mnsc.1080.0901
Keywords
