Concepedia
Operations Research Letters · 2018 · 40 citations · 8 references
BusinessEconomicsFinanceFinancial EconomicsProbability TheoryQuantitative FinanceMarket RiskRisk AversionRisk TheoryValue At RiskConcentration InequalitiesConditional Value-at-risk
8
Some aspects of the sequential design of experiments
Herbert Robbins · Bulletin of the American Mathematical Society · 1952 · 2.2K citations · Full text
Natural Sciences, Mathematics, Experimental Design +12
Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems
Sébastien Bubeck · Foundations and Trends® in Machine Learning · 2012 · 1.2K citations
Business, Decision Sciences, Decision Theory +14
Modeling and optimization of risk
Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev · Surveys in Operations Research and Management Science · 2010 · 165 citations
Business, Finance, Risk Management +10
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
Olivier Bardou, Noufel Frikha, Gilles Pagès · Monte Carlo Methods and Applications · 2009 · 64 citations · Full text
Business, Risk Management, Risk Analysis +15
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun Lihua, L. Jeff Hong · Operations Research Letters · 2010 · 53 citations
Business, Biostatistics, Economics +13