"Importance sampling for tail risk in discretely rebalanced portfolios."

Paul Glasserman, Xingbo Xu (2010)

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DOI: 10.1109/WSC.2010.5678961

access: closed

type: Conference or Workshop Paper

metadata version: 2021-06-10

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Paul Glasserman, Xingbo Xu:
Importance sampling for tail risk in discretely rebalanced portfolios. WSC 2010: 2655-2665

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