Random variables, monotone relations, and convex analysis
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Cites work
- scientific article; zbMATH DE number 5988004 (Why is no real title available?)
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- Coherent measures of risk
- Common mathematical foundations of expected utility and dual utility theories
- Comparison methods for stochastic models and risks
- Convex Analysis
- Dual Stochastic Dominance and Related Mean-Risk Models
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- Monotone networks
- On consistency of stochastic dominance and mean-semideviation models
- Optimization with Stochastic Dominance Constraints
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- Regression Quantiles
- Risk tuning with generalized linear regression
- Stochastic finance. An introduction in discrete time
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
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- Variational Analysis
Cited in
(26)- Efficient and robust optimal design for quantile regression based on linear programming
- Reliability optimization in plant production
- Set-convergence and its application: a tutorial
- Application of buffered probability of exceedance in reliability optimization problems
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Chance-constrained programs with convex underlying functions: a bilevel convex optimization perspective
- Quantiles and convexity
- CVaR distance between univariate probability distributions and approximation problems
- Superquantile/CVaR risk measures: second-order theory
- Regression analysis: likelihood, error and entropy
- Spectral risk measures: the risk quadrangle and optimal approximation
- Variational theory for optimization under stochastic ambiguity
- Epi-convergence: the Moreau envelope and generalized linear-quadratic functions
- Constrained Monotone Mean-Variance Problem with Random Coefficients
- Tractable relaxations of composite functions
- Symbolic computation with monotone operators
- Bregman superquantiles. Estimation methods and applications
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Buffered and reduced multidimensional distribution functions and their application in optimization
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
- scientific article; zbMATH DE number 1664593 (Why is no real title available?)
- Superquantiles at work: machine learning applications and efficient subgradient computation
- Yosida approximations of the cumulative distribution function and applications in survival analysis
- Minimizing buffered probability of exceedance by progressive hedging
- Risk and Utility in the Duality Framework of Convex Analysis
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