"Computing Sensitivities for Distortion Risk Measures."

Peter W. Glynn et al. (2021)

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DOI: 10.1287/IJOC.2020.1016

access: closed

type: Journal Article

metadata version: 2021-12-25

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Peter W. Glynn, Yijie Peng, Michael C. Fu, Jian-Qiang Hu:
Computing Sensitivities for Distortion Risk Measures. INFORMS J. Comput. 33(4): 1520-1532 (2021)

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