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Efficient randomized quasi-Monte Carlo methods for portfolio market risk |
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| Institution: | 1. Center for Real Estate and Urban Economic Studies, School of Business, University of Connecticut, Storrs, CT, USA;2. Department of Geography, University of Connecticut, Storrs, CT, USA;3. Department of Economics, Finance and Insurance, University of Hartford, West Hartford, CT 06117, USA |
| Abstract: | |
| Keywords: | Risk management Quasi-Monte Carlo Importance sampling Stratified sampling |
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