Norton, Matthew
- Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation
2018/11/27 by Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan · 4 citations
#FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Other Statistics (stat.OT) #Probability (math.PR) #Risk Management (q-fin.RM)
- Diametrical Risk Minimization: Theory and Computations
2019/10/24 by Norton, Matthew, Royset, Johannes O. · 1 citation
#FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC)