2015-05-12Buch
Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems
Dentcheva, Darinka; Penev, Spiridon; Ruszczynski, Andrzej
We address the statistical estimation of composite functionals whichmay be nonlinear in the probability measure. Our study is motivated bythe need to estimate coherent measures of risk, which become increasinglypopular in ...