@inproceedings{716c0bdd0c1d45d998eead7442448723,
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",
doi = "10.1109/WSC.2006.323153",
language = "English (US)",
isbn = "1424405017",
series = "Proceedings - Winter Simulation Conference",
pages = "733--740",
booktitle = "Proceedings of the 2006 Winter Simulation Conference, WSC",
note = "2006 Winter Simulation Conference, WSC ; Conference date: 03-12-2006 Through 06-12-2006",
}