CV@R penalized portfolio optimization with biased stochastic mirror descent

MaRDI QIDQ6522404arXivFDO

Authors Manon Costa, Sébastien Gadat, Lorick Huang

Published in arXiv

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Probability distributions: general theory (60E05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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