Risk-averse online learning under mean-variance measures.

Sattar Vakili Qing Zhao

Published in: ICASSP (2015)

Keyphrases

online learning
risk averse
utility function
risk measures
risk aversion
risk neutral
decision makers
stochastic programming
expected utility
e learning
active learning
bayesian networks
portfolio selection
decision problems
risk sensitive
portfolio management
multistage
probability distribution