Risk-based robust statistical learning by stochastic difference-of-convex value-function optimization
Junyi Liu, Jong-Shi Pang
| Year of publication: |
2023
|
|---|---|
| Authors: | Liu, Junyi ; Pang, Jong-Shi |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 71.2023, 2, p. 397-414
|
| Subject: | conditional value at risk | nonconvex and nonsmooth stochastic optimization | Optimization | robust statistical learning | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Lernprozess | Learning process | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection |
Online Resource