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    2008
    189views Modeling And Simulation» more  WSC 2008»
    Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
    14 years 2 months ago
    Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
    Download  www.informs-sim.org
    We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
    Sandeep Juneja
    claim paper
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