Buffered and reduced multidimensional distribution functions and their application in optimization

DOI10.1007/S11590-023-02045-1MaRDI QIDQ6191974zbMATH OpenFDO

Authors Bogdan Grechuk, Michael Zabarankin, Alexander Mafusalov, Stan Uryasev

Publication date 11 March 2024

Published in Optimization Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11590-023-02045-1

zbMATH Keywords

CDFcumulative distribution functionconditional value-at-riskbuffered probability of exceedanceprobability of exceedanceBPOE

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Recommendations

• Estimating and validating the cumulative distribution of a function of random variables: Toward the development of distribution arithmetic
• Random variables, monotone relations, and convex analysis
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Higher-moment buffered probability
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Cites work

• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES
• Convex Analysis
• Generalized deviations in risk analysis
• Globally convergent block-coordinate techniques for unconstrained optimization
• Maximization of AUC and buffered AUC in binary classification
• On search directions for minimization algorithms
• On the convergence of the block nonlinear Gauss-Seidel method under convex constraints
• Random variables, monotone relations, and convex analysis
• Statistical decision problems. Selected concepts and portfolio safeguard case studies

This page was built for publication: Buffered and reduced multidimensional distribution functions and their application in optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6191974)