Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics.

Jiarui Chu Ludovic Tangpi

Published in: SIAM J. Financial Math. (2024)

Keyphrases

stochastic gradient
risk measures
stochastic gradient descent
nearest neighbor classifier
robust optimization
genetic algorithm
objective function
data points
non stationary
step size
portfolio selection
portfolio optimization