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- W4303968082 abstract "In this work, we extend some quantities introduced in Optimization of conditional value-at-risk of R.T Rockafellar and S. Uryasev to the case where the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile. Axioms of a coherent measure of risk discussed in Coherent approches to risk in optimization under uncertainty of R.T Rockafellar are studied in the case of Bregman superquantile. Furthermore, we deal with asymptotic properties of a Monte Carlo estimator of the Bregman superquantile." @default.
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- W4303968082 date "2016-01-01" @default.
- W4303968082 modified "2023-09-26" @default.
- W4303968082 title "Bregman superquantiles. Estimation methods and applications." @default.
- W4303968082 hasPublicationYear "2016" @default.
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