An adaptive procedure for estimating coherent risk measures based on generalized scenarios

Vadim Lesnevski; Barry L Nelson; Jeremy Staum

doi:10.1109/WSC.2006.323153

An adaptive procedure for estimating coherent risk measures based on generalized scenarios

Vadim Lesnevski^*, Barry L Nelson, Jeremy Staum

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a collection of simulated "systems." We present a procedure for generating a fixed-width confidence interval for this coherent risk measure. The procedure improves upon previous methods by being reliably efficient for simulation of generalized scenarios and portfolios with heterogeneous characteristics.

Original language	English (US)
Title of host publication	Proceedings of the 2006 Winter Simulation Conference, WSC
Pages	733-740
Number of pages	8
DOIs	https://doi.org/10.1109/WSC.2006.323153
State	Published - Dec 1 2006
Event	2006 Winter Simulation Conference, WSC - Monterey, CA, United States Duration: Dec 3 2006 → Dec 6 2006

Other

Other	2006 Winter Simulation Conference, WSC
Country/Territory	United States
City	Monterey, CA
Period	12/3/06 → 12/6/06

ASJC Scopus subject areas

Engineering(all)

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10.1109/WSC.2006.323153

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title = "An adaptive procedure for estimating coherent risk measures based on generalized scenarios",

abstract = "Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a collection of simulated {"}systems.{"} We present a procedure for generating a fixed-width confidence interval for this coherent risk measure. The procedure improves upon previous methods by being reliably efficient for simulation of generalized scenarios and portfolios with heterogeneous characteristics.",

author = "Vadim Lesnevski and Nelson, {Barry L} and Jeremy Staum",

year = "2006",

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doi = "10.1109/WSC.2006.323153",

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AU - Nelson, Barry L

AU - Staum, Jeremy

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AB - Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a collection of simulated "systems." We present a procedure for generating a fixed-width confidence interval for this coherent risk measure. The procedure improves upon previous methods by being reliably efficient for simulation of generalized scenarios and portfolios with heterogeneous characteristics.

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U2 - 10.1109/WSC.2006.323153

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M3 - Conference contribution

AN - SCOPUS:46149117539

SN - 1424405017

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BT - Proceedings of the 2006 Winter Simulation Conference, WSC

T2 - 2006 Winter Simulation Conference, WSC

Y2 - 3 December 2006 through 6 December 2006

ER -

An adaptive procedure for estimating coherent risk measures based on generalized scenarios

Abstract

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