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20142026
most citedConvergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall

7 citations · 25 across the 14 of their papers we have counts for

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math.NA2019★ 1 cited

Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo

Zhijian He

Conditional value at risk (CVaR) is a popular measure for quantifying portfolio risk. Sensitivity analysis of CVaR is very useful in risk management and gradient-based optimization…