Consistency of Sample Estimates of Risk Averse Stochastic Programs
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Publication:5299576
DOI10.1239/jap/1371648959zbMath1301.62045OpenAlexW2015637491MaRDI QIDQ5299576
Publication date: 26 June 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1371648959
stochastic programminglaw of large numberssample average approximationepiconvergenceconsistency of statistical estimatorslaw-invariant convex and coherent risk measures
Asymptotic properties of nonparametric inference (62G20) Stochastic programming (90C15) Strong limit theorems (60F15)
Related Items (8)
A new coherent multivariate average-value-at-risk ⋮ Distributionally Robust Stochastic Programming ⋮ Distributionally robust stochastic variational inequalities ⋮ Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? ⋮ Periodical Multistage Stochastic Programs ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems ⋮ Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
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- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Coherent Measures of Risk
- Lectures on Stochastic Programming
- Asymptotic consistency of risk functionals
- Variational Analysis
- Optimization of Convex Risk Functions
- Stochastic finance. An introduction in discrete time
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