Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Sensitivity estimation of conditional value at risk using randomized
  quasi-Monte Carlo   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 algorithms. In this paper, we study the
infinitesimal perturbation analysis estimator for CVaR sensitivity using
randomized quasi-Monte Carlo (RQMC) simulation. We first prove that the
RQMC-based estimator is strongly consistent under very mild conditions. Under
some technical conditions, RQMC that uses $d$-dimensional points in CVaR
sensitivity estimation yields a mean error rate of
$O(n^{-1/2-1/(4d-2)+\epsilon})$ for arbitrarily small $\epsilon>0$. The
numerical results show that the RQMC method performs better than the Monte
Carlo method for all cases. The gain of plain RQMC deteriorates as the
dimension $d$ increases, as predicted by the established theoretical error
rate.

8
The categories of this paper are: hep-ex
19
The categories of this paper are: eess
7
The categories of this paper are: hep-th
35
The categories of this paper are: mtrl-th
30
The categories of this paper are: q-alg
5
The categories of this paper are: gr-qc
0
The categories of this paper are: hep-ph
13
The categories of this paper are: quant-ph
14
The categories of this paper are: math-ph
18
The categories of this paper are: econ
10
The categories of this paper are: q-bio
9
The categories of this paper are: nlin
12
The categories of this paper are: nucl-th
26
The categories of this paper are: bayes-an
36
The categories of this paper are: cmp-lg
4
The categories of this paper are: cond-mat