Code and Data Repository for Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels
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DOI: 10.1287/ijoc.2023.0394.cd
Abstract: The goal of this software is to demonstrate the effect of constructing confidence intervals for CVaR proposed in "Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels" by Qidong Lai, Guangwu Liu, Bingfeng Zhang and… read more here.
Keywords: intervals conditional; simulating confidence; conditional value; confidence intervals ... See more keywords