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Non-asymptotic analysis of SGLD with discontinuous stochastic gradients: a new route to portfolio CVaR minimization

Ding, Yan et al.
arXiv (All) · Papers
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mathematical-financeoptimization-and-controlportfolio-managementprobabilitystatistics-theory
Conditional-Value-at-Risk (CVaR) optimization is a fundamental tool in portfolio selection, yet its nonsmooth loss structure poses a challenge for the existing theory of stochastic gradient methods including associated Langevin algorithms. In particular, the positive-part loss and the softmax portfo
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