76 search results - page 5 / 16 » Efficient Portfolio Optimization with Conditional Value at R... |
WSC
2008
13 years 9 months ago
2008
Our focus is on efficient estimation of tail probabilities of sums of correlated lognormals. This problem is motivated by the tail analysis of portfolios of assets driven by corre...
SIAMJO
2008
13 years 7 months ago
2008
We study approximations of optimization problems with probabilistic constraints in which the original distribution of the underlying random vector is replaced with an empirical dis...
CORR
2008
Springer
13 years 7 months ago
2008
Springer
We develop and analyze M-estimation methods for divergence functionals and the likelihood ratios of two probability distributions. Our method is based on a non-asymptotic variatio...
ICDCS
2007
IEEE
13 years 11 months ago
2007
IEEE
On-line decision making often involves query processing over time-varying data which arrives in the form of data streams from distributed locations. In such environments typically...
JMLR
2010
13 years 5 months ago
2010
We extend the well-known BFGS quasi-Newton method and its memory-limited variant LBFGS to the optimization of nonsmooth convex objectives. This is done in a rigorous fashion by ge...