"Simulation of Coherent Risk Measures Based on Generalized Scenarios."

Vadim Lesnevski, Barry L. Nelson, Jeremy Staum (2007)

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DOI: 10.1287/MNSC.1070.0734

access: closed

type: Journal Article

metadata version: 2020-06-30

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Vadim Lesnevski, Barry L. Nelson, Jeremy Staum:
Simulation of Coherent Risk Measures Based on Generalized Scenarios. Manag. Sci. 53(11): 1756-1769 (2007)

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