A multilevel stochastic approximation scheme achieves near-optimal complexity of order epsilon^{-2-delta} for VaR and epsilon^{-2}|ln epsilon|^2 for ES in nested risk estimation.
Shortfall risk minimization in discrete time financial market models
2 Pith papers cite this work. Polarity classification is still indexing.
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2023 2verdicts
UNVERDICTED 2representative citing papers
Establishes central limit theorems for the renormalized estimation errors of nested and multilevel stochastic approximation algorithms for VaR and ES, including averaged versions, with numerical illustration.
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A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
A multilevel stochastic approximation scheme achieves near-optimal complexity of order epsilon^{-2-delta} for VaR and epsilon^{-2}|ln epsilon|^2 for ES in nested risk estimation.
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Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Establishes central limit theorems for the renormalized estimation errors of nested and multilevel stochastic approximation algorithms for VaR and ES, including averaged versions, with numerical illustration.