2020/02/17 by Robbert Fokkink, Fokkink, Robbert, Ludolf Erwin Meester +3
Decision Sciences · #05D05 #60G50 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.2002.06804
openalex publication_date 2020/02/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We want to find the convex combination S of iid Bernoulli random variables that maximizes P(S≥ t) for a given threshold~t. Csóka conjectured that such an S is an average if t≥ p, where p is the success probability of the Bernoulli random variables. We prove this conjecture for a range of p and t.