An adaptive procedure for estimating coherent risk measures based on generalized scenarios

Authors:
Vadim Lesnevski;Barry L. Nelson;Jeremy Staum
Affiliations:
Northwestern University, Evanston, IL;Northwestern University, Evanston, IL;Northwestern University, Evanston, IL
Venue:
Proceedings of the 38th conference on Winter simulation
Year:
2006

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Simulation Modeling and Analysis

Simulation Modeling and Analysis
Control variates for screening, selection, and estimation of the best

ACM Transactions on Modeling and Computer Simulation (TOMACS)

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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.