Consistency of sample estimates of risk averse stochastic programs
DOI10.1239/JAP/1371648959zbMATH Open1301.62045OpenAlexW2015637491MaRDI QIDQ5299576FDOQ5299576
Authors: Alexander Shapiro 
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
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law of large numbersstochastic programmingsample average approximationepiconvergenceconsistency of statistical estimatorslaw-invariant convex and coherent risk measures
Asymptotic properties of nonparametric inference (62G20) Stochastic programming (90C15) Strong limit theorems (60F15)
Cites Work
- Coherent measures of risk
- Variational Analysis
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- Stochastic finance. An introduction in discrete time
- Lectures on Stochastic Programming
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Title not available (Why is that?)
- Optimization of Convex Risk Functions
- Asymptotic consistency of risk functionals
Cited In (14)
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
- A new coherent multivariate average-value-at-risk
- A central limit theorem and hypotheses testing for risk-averse stochastic programs
- Asymptotic consistency of risk functionals
- Periodical multistage stochastic programs
- Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications
- Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Asymptotic consistency for nonconvex risk-averse stochastic optimization with infinite-dimensional decision spaces
- First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
- Distributionally robust stochastic programming
- Convex approximations of two-stage risk-averse mixed-integer recourse models
- Distributionally robust stochastic variational inequalities
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