2 papers
math.OC2014
Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method
Georg Hofmann
Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a lin…
stat.AP2013
Importance sampling for the simulation of reinsurance losses
Georg Hofmann
Importance sampling is a well developed method in statistics. Given a random variable , the problem of estimating its expected value is addressed. The standard approach is t…