Stochastic quasigradient algorithm to minimize the function of integral quantile

DOI10.1134/S000511791202004XzbMath1307.90127OpenAlexW2002223018MaRDI QIDQ2261707

A. I. Kibzun, A. I. Chernobrovov

Publication date: 13 March 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s000511791202004x

Mathematics Subject Classification ID

Stochastic programming (90C15) Methods of reduced gradient type (90C52)

Cites Work

• Unnamed Item
• Unnamed Item
• Algorithm to solve the generalized Markowitz problem
• Stochastic quasigradient algorithm to minimize the quantile function
• Application of the bootstrap method for estimation of the quantile function
• Estimating conditional tail expectation with actuarial applications in view
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Comparison of VaR and CVaR criteria

This page was built for publication: Stochastic quasigradient algorithm to minimize the function of integral quantile