Stochastic approximation with averaging innovation applied to Finance
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DOI: 10.1515/mcma-2011-0018
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Cited by:
- Gadat, Sébastien & Costa, Manon & Huang, Lorick, 2022. "CV@R penalized portfolio optimization with biased stochastic mirror descent," TSE Working Papers 22-1342, Toulouse School of Economics (TSE), revised Nov 2023.
- Zsolt Nika & Mikl'os R'asonyi, 2019. "Learning Threshold-Type Investment Strategies with Stochastic Gradient Method," Papers 1907.02457, arXiv.org.
- Miklos Rasonyi & Kinga Tikosi, 2020. "Convergence of the Kiefer-Wolfowitz algorithm in the presence of discontinuities," Papers 2007.14069, arXiv.org, revised Sep 2021.
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Keywords
Stochastic approximation; sequence with low discrepancy; quasi-Monte Carlo; -mixing process; Gàl–Koksma theorem; stationary process; ergodic control; two-armed bandit algorithm; calibration; optimal asset allocation; Value-at-Risk; Conditional Value-at-Risk;All these keywords.
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