{"id":"https://openalex.org/W4388300814","doi":"https://doi.org/10.1142/s0217595923500379","title":"Nested Simulation for Conditional Value-at-Risk with Discrete Losses","display_name":"Nested Simulation for Conditional Value-at-Risk with Discrete Losses","publication_year":2023,"publication_date":"2023-11-03","ids":{"openalex":"https://openalex.org/W4388300814","doi":"https://doi.org/10.1142/s0217595923500379"},"language":"en","primary_location":{"id":"doi:10.1142/s0217595923500379","doi":"https://doi.org/10.1142/s0217595923500379","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1142/s0217595923500379","pdf_url":null,"source":{"id":"https://openalex.org/S1254427","display_name":"Asia Pacific Journal of Operational Research","issn_l":"0217-5959","issn":["0217-5959","1793-7019"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","jufo-1","norway-1","poland-40","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asia-Pacific Journal of Operational Research","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100782393","display_name":"Ge Yu","orcid":"https://orcid.org/0000-0002-9359-2812","observed_orcids":["https://orcid.org/0000-0002-9359-2812"]},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]},{"id":"https://openalex.org/I881766915","display_name":"Nanjing University","ror":"https://ror.org/01rxvg760","country_code":"CN","type":"education","lineage":["https://openalex.org/I881766915"]}],"countries":["CN","HK"],"is_corresponding":false,"raw_author_name":"Yu Ge","raw_affiliation_strings":["Department of Management Sciences, College of Business, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, P.\u00a0R.\u00a0China","School of Management and Engineering, Nanjing University, Nanjing 210093, P.\u00a0R.\u00a0China"],"raw_orcid":"https://orcid.org/0000-0002-9359-2812","affiliations":[{"raw_affiliation_string":"Department of Management Sciences, College of Business, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, P.\u00a0R.\u00a0China","institution_ids":["https://openalex.org/I168719708"]},{"raw_affiliation_string":"School of Management and Engineering, Nanjing University, Nanjing 210093, P.\u00a0R.\u00a0China","institution_ids":["https://openalex.org/I881766915"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5059077950","display_name":"Guangwu Liu","orcid":"https://orcid.org/0000-0002-5602-0540","observed_orcids":["https://orcid.org/0000-0002-5602-0540"]},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Guangwu Liu","raw_affiliation_strings":["Department of Management Sciences, College of Business, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, P.\u00a0R.\u00a0China"],"raw_orcid":"https://orcid.org/0000-0002-5602-0540","affiliations":[{"raw_affiliation_string":"Department of Management Sciences, College of Business, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, P.\u00a0R.\u00a0China","institution_ids":["https://openalex.org/I168719708"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5070361735","display_name":"Houcai Shen","orcid":"https://orcid.org/0000-0003-1704-9129","observed_orcids":["https://orcid.org/0000-0003-1704-9129"]},"institutions":[{"id":"https://openalex.org/I881766915","display_name":"Nanjing University","ror":"https://ror.org/01rxvg760","country_code":"CN","type":"education","lineage":["https://openalex.org/I881766915"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Houcai Shen","raw_affiliation_strings":["School of Management and Engineering, Nanjing University, Nanjing 210093, P.\u00a0R.\u00a0China"],"raw_orcid":"https://orcid.org/0000-0003-1704-9129","affiliations":[{"raw_affiliation_string":"School of Management and Engineering, Nanjing University, Nanjing 210093, P.\u00a0R.\u00a0China","institution_ids":["https://openalex.org/I881766915"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5059077950"],"corresponding_institution_ids":["https://openalex.org/I168719708"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.17259814,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.6650000214576721,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.6650000214576721,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11195","display_name":"Simulation Techniques and Applications","score":0.11860000342130661,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.10360000282526016,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/nested-simulation","display_name":"nested simulation","score":0.9789999723434448},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9660000205039978},{"id":"https://openalex.org/keywords/portfolio-risk-measurement","display_name":"portfolio risk measurement","score":0.9179999828338623},{"id":"https://openalex.org/keywords/sub-gaussian-distributions","display_name":"sub-Gaussian distributions","score":0.8759999871253967},{"id":"https://openalex.org/keywords/mean-squared-error","display_name":"mean squared error","score":0.7990000247955322},{"id":"https://openalex.org/keywords/sampling-budget","display_name":"sampling budget","score":0.6690000295639038},{"id":"https://openalex.org/keywords/risk-measures","display_name":"risk measures","score":0.4099999964237213}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.8571344614028931},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8291478157043457},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.758840799331665},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6097139120101929},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5280939936637878},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4535762071609497},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.44804275035858154},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.4421062469482422},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4023515284061432},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.38515037298202515},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37407541275024414},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2377128005027771},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07566720247268677},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0217595923500379","doi":"https://doi.org/10.1142/s0217595923500379","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1142/s0217595923500379","pdf_url":null,"source":{"id":"https://openalex.org/S1254427","display_name":"Asia Pacific Journal of Operational Research","issn_l":"0217-5959","issn":["0217-5959","1793-7019"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","jufo-1","norway-1","poland-40","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asia-Pacific Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:apjorx:v:41:y:2024:i:05:n:s0217595923500379","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0217595923500379","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G2172947564","display_name":"\u5927\u6570\u636e\u80cc\u666f\u4e0b\u7684\u9879\u76ee\u7ba1\u7406\u7406\u8bba\u4e0e\u6a21\u5f0f\u7814\u7a76","funder_award_id":"71732003","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2469108379","display_name":"\u8010\u7528\u54c1\u66f4\u65b0\u6362\u4ee3\u4e0b\u4ee5\u65e7\u6362\u65b0\u4e0e\u4ea7\u54c1\u67b6\u6784\u51b3\u7b56\u95ee\u9898\u7814\u7a76","funder_award_id":"71671085","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1106997938","https://openalex.org/W2045831570","https://openalex.org/W2050496989","https://openalex.org/W2069311504","https://openalex.org/W2107828625","https://openalex.org/W2115799946","https://openalex.org/W2140079029","https://openalex.org/W2207023490","https://openalex.org/W2488047874","https://openalex.org/W2515210455","https://openalex.org/W2585015364","https://openalex.org/W2605844352","https://openalex.org/W3049391724","https://openalex.org/W3122128468","https://openalex.org/W3124613937","https://openalex.org/W3133000147","https://openalex.org/W3157752112","https://openalex.org/W4283029450"],"related_works":["https://openalex.org/W4406612592","https://openalex.org/W4385611805","https://openalex.org/W4221161307","https://openalex.org/W4248896781","https://openalex.org/W3140614103","https://openalex.org/W4404351638","https://openalex.org/W3150782716","https://openalex.org/W2356384765","https://openalex.org/W3160799913","https://openalex.org/W3140149666"],"abstract_inverted_index":{"Nested":[0],"simulation":[1,81,185],"has":[2,25,129],"been":[3,26],"an":[4,13],"active":[5],"area":[6],"of":[7,22,44,61,69,98,109,139,160,188],"research":[8],"in":[9,16,47,52,71,92,164],"recent":[10],"years,":[11],"with":[12],"important":[14],"application":[15],"portfolio":[17,33,46,100,110,122],"risk":[18,72,90],"measurement.":[19,73],"While":[20],"majority":[21],"the":[23,29,58,93,99,106,121,134,140,158,161,165,178,183,189],"literature":[24],"focusing":[27],"on":[28],"continuous":[30,40,166],"case":[31,94,167],"where":[32,95,173],"loss":[34,123],"is":[35,169,192],"assumed":[36],"to":[37,57,105,145,151],"follow":[38],"a":[39,45,66,79,88,114,125,130,148],"distribution,":[41],"monetary":[42,96],"losses":[43,97],"practice":[48],"are":[49],"usually":[50],"measured":[51],"discrete":[53,102,107],"units,":[54],"oftentimes":[55],"due":[56],"practical":[59],"consideration":[60],"meaningful":[62],"decimal":[63],"places":[64],"for":[65,83],"given":[67],"level":[68],"precision":[70],"In":[74],"this":[75],"paper,":[76],"we":[77,112],"study":[78],"nested":[80,184],"procedure":[82],"estimating":[84],"conditional":[85],"Value-at-Risk":[86],"(CVaR),":[87],"popular":[89],"measure,":[91],"take":[101],"values.":[103],"Tailored":[104],"nature":[108],"losses,":[111],"propose":[113],"rounded":[115],"estimator":[116,143,163,191],"and":[117],"show":[118],"that":[119],"when":[120],"follows":[124],"sub-Gaussian":[126],"distribution":[127],"or":[128],"sufficiently":[131],"high-order":[132],"moment,":[133],"mean":[135],"squared":[136],"error":[137],"(MSE)":[138],"resulting":[141],"CVaR":[142,162],"decays":[144],"zero":[146],"at":[147],"rate":[149,159],"close":[150],"[Formula:":[152,170,174],"see":[153,171,175],"text],":[154,172],"much":[155],"faster":[156],"than":[157],"which":[168],"text]":[176],"denotes":[177],"sampling":[179],"budget":[180],"required":[181],"by":[182],"procedure.":[186],"Performance":[187],"proposed":[190],"demonstrated":[193],"using":[194],"numerical":[195],"examples.":[196]},"counts_by_year":[],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2023-11-04T00:00:00"}