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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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Stochastic approximation algorithms for superquantiles estimation
Bercu, Bernard; Costa, Manon; Gadat, Sébastien - 2020
Persistent link: https://www.econbiz.de/10012286349
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Non asymptotic controls on a stochastic algorithm for superquantile approximation
Costa, Manon; Gadat, Sébastien - 2020
Persistent link: https://www.econbiz.de/10012316959