The following publications are possibly variants of this publication:
- Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk: A ReviewL. Jeff Hong, Zhaolin Hu, Guangwu Liu. tomacs, 24(4), 2014. [doi]
- Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte CarloL. Jeff Hong, Zhaolin Hu, Liwei Zhang. informs, 26(2):385-400, 2014. [doi]
- Conditional Monte Carlo Estimation of Quantile SensitivitiesMichael C. Fu, L. Jeff Hong, Jian-Qiang Hu. mansci, 55(12):2019-2027, 2009. [doi]
- Simulating Sensitivities of Conditional Value at RiskL. Jeff Hong, Guangwu Liu. mansci, 55(2):281-293, 2009. [doi]