186 search results - page 1 / 38 » Generalized deviations in risk analysis |
FS
2006
13 years 4 months ago
2006
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
NIPS
2001
13 years 6 months ago
2001
In this paper, it is shown how to extract a hypothesis with small risk from the ensemble of hypotheses generated by an arbitrary on-line learning algorithm run on an independent an...
MP
2006
13 years 4 months ago
2006
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
MP
2006
13 years 4 months ago
2006
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...
ORL
2007
13 years 4 months ago
2007
In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviati...