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WSC
2008
13 years 10 months ago
Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
Sandeep Juneja
IOR
2010
71views more  IOR 2010»
13 years 5 months ago
Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
Jörn Dunkel, Stefan Weber
CIKM
2009
Springer
13 years 5 months ago
Measuring system performance and topic discernment using generalized adaptive-weight mean
Standard approaches to evaluating and comparing information retrieval systems compute simple averages of performance statistics across individual topics to measure the overall sys...
Chung Tong Lee, Vishwa Vinay, Eduarda Mendes Rodri...
TCOM
2008
126views more  TCOM 2008»
13 years 7 months ago
Distributed measurements for estimating and updating cellular system performance
We investigate the use of distributed measurements for estimating and updating the performance of a cellular system. Specifically, we discuss the number and placement of sensors in...
Liang Xiao, Larry J. Greenstein, Narayan B. Manday...
CVPR
2005
IEEE
14 years 9 months ago
Efficient Mean-Shift Tracking via a New Similarity Measure
The mean shift algorithm has achieved considerable success in object tracking due to its simplicity and robustness. It finds local minima of a similarity measure between the color...
Changjiang Yang, Ramani Duraiswami, Larry S. Davis