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Concentration bounds for empirical conditional value-at-risk: The unbounded case
7 references·0 citing·29 second hop
Concentration bounds for empirical conditional value-at-risk: The unbounded case (2018)Concentration bounds for empirical condit…Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)Regret Analysis of Stochastic…Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)Regret Analysis of Stochastic…Modeling and optimization of risk (2010)Modeling and optimization of …Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk (2010)Asymptotic representations fo…Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Computing VaR and CVaR using …Large deviations bounds for estimating conditional value-at-risk (2007)Large deviations bounds for e…Some aspects of the sequential design of experiments (1952)Some aspects of the sequentia…Variance Reduction Techniques for Estimating Value-at-Risk (2000)Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors (2002)Importance Sampling for Portfolio Credit Risk (2005)Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques (2014)Quantile Estimation with Latin Hypercube Sampling (2017)Risk Quantification in Stochastic Simulation under Input Uncertainty (2020)A Stochastic Approximation Method (1951)Bandit Processes and Dynamic Allocation Indices (1979)The Nonstochastic Multiarmed Bandit Problem (2002)Information-Theoretic Regret Bounds for Gaussian Process Optimization in the Bandit Setting (2012)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Optimizing the CVaR via Sampling (2015)Finite-time Analysis of the Multiarmed Bandit Problem (2002)Prediction, Learning, and Games (2006)Introduction to Online Convex Optimization (2016)Introduction to Online Convex Optimization (2016)Introduction to Multi-Armed Bandits (2019)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Dealing with Uncertainties in MCDA (2016)Mean-VaR portfolio optimization: A nonparametric approach (2017)Portfolio optimization with entropic value-at-risk (2019)Information-seeking, curiosity, and attention: computational and neural mechanisms (2013)A unified framework for stochastic optimization (2018)Bandit Algorithms (2020)
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References

  • 1952Some aspects of the sequential design of experiments2,183 cited
  • 2012Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems1,410 cited
  • 2012Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems1,275 cited
  • 2010Modeling and optimization of risk168 cited
  • 2009Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling72 cited
  • 2010Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk48 cited
  • 2007Large deviations bounds for estimating conditional value-at-risk48 cited

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