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Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling

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Cited by

2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
2012Mean–CVaR portfolio selection: A nonparametric estimation framework76 cited
2015Optimizing the CVaR via Sampling68 cited
2016Sequential Decision Making With Coherent Risk62 cited
2021Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics

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2017Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures45 cited

2018Concentration bounds for empirical conditional value-at-risk: The unbounded case39 cited

2019Multilevel Nested Simulation for Efficient Risk Estimation38 cited

2020Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models16 cited