Wednesday, May 18, 2022 - 16:00 in V10-122
Statistical estimation of stochastic optimization problems and risk measures
A talk in the Mathematical finance / Insurance mathematics series by
Daniel Bartl from Vienna University
| Abstract: |
We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems from an iid sample. This procedure is the first one that exhibits the optimal statistical performance in heavy tailed situations and also applies in highdimensional settings. We discuss the portfolio optimization problem and the estimation of risk measures. Joint works with Stephan Eckstein and Shahar Mendelson.
Within the CRC this talk is associated to the project(s): C3, C4, C5, C7 |
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