Related papers: Efficient Nested Estimation of CoVaR: A Decoupled …

Two-phase sampling is commonly adopted for reducing cost and improving estimation efficiency. In many two-phase studies, the outcome and some cheap covariates are observed for a large sample in Phase I, and expensive covariates are obtained…

Conditional value at risk (CVaR) is a popular measure for quantifying portfolio risk. Sensitivity analysis of CVaR is very useful in risk management and gradient-based optimization algorithms. In this paper, we study the infinitesimal…

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…

This work presents a methodology to incorporate reliability constraints in the optimal power systems expansion planning problem. Besides LOLP and EPNS, traditionally used in power systems, this work proposes the use of the risk measures VaR…

In most nonrandomized observational studies, differences between treatment groups may arise not only due to the treatment but also because of the effect of confounders. Therefore, causal inference regarding the treatment effect is not as…

We consider multi-level composite optimization problems where each mapping in the composition is the expectation over a family of random smooth mappings or the sum of some finite number of smooth mappings. We present a normalized proximal…

We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via the popular conditional value at risk (CVaR) measure. The algorithm processes independent and…

We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes. Specifically we consider shrinkage methods that are…

Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…

Distortion risk measures play a critical role in quantifying risks associated with uncertain outcomes. Accurately estimating these risk measures in the context of computationally expensive simulation models that lack analytical tractability…

We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is Conditional Value-at-Risk (CVaR). We propose two algorithms that obtain a locally risk-optimal policy by employing four…

We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be computed via simulations conditionally on the realisation of…

This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios. The study aims to go beyond traditional risk…

We analyze convergence rates of stochastic optimization procedures for non-smooth convex optimization problems. By combining randomized smoothing techniques with accelerated gradient methods, we obtain convergence rates of stochastic…

In this paper, we consider a broad class of nonconvex and nonsmooth optimization problems, where one objective component is a nonsmooth weakly convex function composed with a linear operator. By integrating variable smoothing techniques…

This paper considers the specification of covariance structures with tail estimates. We focus on two aspects: (i) the estimation of the VaR-CoVaR risk matrix in the case of larger number of time series observations than assets in a…

High dimensional covariance estimation and graphical models is a contemporary topic in statistics and machine learning having widespread applications. An important line of research in this regard is to shrink the extreme spectrum of the…

When the copula of the conditional distribution of two random variables given a covariate does not depend on the value of the covariate, two conflicting intuitions arise about the best possible rate of convergence attainable by…

Conditional Value-at-Risk (CVaR) is a widely used risk metric in applications such as finance. We derive concentration bounds for CVaR estimates, considering separately the cases of light-tailed and heavy-tailed distributions. In the…

Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced artificial intelligence solutions may provide the right tools to…