Code and Data Repository for Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels
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 Kun Zhang.
Authors
- Bingfeng Zhang (ORCID: https://orcid.org/0000-0001-5751-2873)
- Kun Zhang (ORCID: https://orcid.org/0000-0002-0898-5807)
- Guangwu Liu (ORCID: https://orcid.org/0000-0002-5602-0540)
- Qidong Lai (ORCID: https://orcid.org/0000-0002-4735-0505)
Publication Details
- Journal
- INFORMS journal on computing
- Published
- 2024-10-17
- DOI
- https://doi.org/10.1287/ijoc.2023.0394.cd
- Primary Topic
- Simulation Techniques and Applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00