Solution of a statistical optimization problem by rearrangement methods
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Cites work
- scientific article; zbMATH DE number 3613959 (Why is no real title available?)
- scientific article; zbMATH DE number 3073200 (Why is no real title available?)
- An Inequality for Rearrangements
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- Bivariate distributions with given marginals
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- On a class of extremal problems in statistics
- Orbits of L 1 -Functions Under Doubly Stochastic Transformation
- Rearrangement Inequalities
- Some Extensions of a Theorem of Hardy, Littlewood and Pólya and Their Applications
Cited in
(47)- Computation of sharp bounds on the distribution of a function of dependent risks
- Ordering risk bounds in factor models
- On multivariate dispersion orderings based on the standard construction
- Optimal substitution of arguments of an arrangement increasing function based on sufficient statistics for parameter-arguments
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Current open questions in complete mixability
- General lower bounds on convex functionals of aggregate sums
- Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
- Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals
- Structural properties and stochastic bounds for a buffer problem in packetized voice transmission
- Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference
- ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Optimal transport with some directed distances
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
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- A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
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- On a DC-optimization-problem from statistical factor analysis
- Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
- Comparison of multivariate risks and positive dependence
- Multivariate properties of random vectors of order statistics
- Sklar's theorem, copula products, and ordering results in factor models
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- The Wasserstein distance and approximation theorems
- Portfolio Optimization within a Wasserstein Ball
- The rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
- Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
- Risk aggregation with dependence uncertainty
- Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
- Distributions with known initial hazard rate functions
- Algebraic structure of some stochastic discrete event systems, with applications
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Sharp bounds on the expected shortfall for a sum of dependent random variables
- Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment
- Extremal dependence concepts
- Finding explicit solutions for linear regression without correspondences based on rearrangement inequality
- Detecting complete and joint mixability
- Optimal multivariate financial decision making
- Parametric stochastic convexity and concavity of stochastic processes
- Joint mixability of some integer matrices
- Risk Measures for Portfolio Vectors and Allocation of Risks
- ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES
- A log-det inequality for random matrices
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