منابع مشابه
Higher Moment Coherent Risk Measures
The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via specially constructed stochastic programming problems. Using the developed representations, we introduce a new family of highe...
متن کاملLecture 6 : Frequency Moment Approximation
F2 is particularly interesting and useful to approximate. One reason that we might be interested is in understanding the quality of the output of the COUNT Sketch approximation, where |f̃j − fj| ≤ ε||f−j||2 ≤ ε √ F2. Since F1 is easy to compute exactly, the errors in the COUNT-MIN and MisraGries estimates are easy to compute. The F2 approximation lets us get good estimates of the (smaller) error...
متن کاملPortfolio Optimization with Higher Moment Risk Measures
The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via solutions of specially constructed stochastic programming problems. Using the developed representations, we introduce a new fa...
متن کاملHigher Moment Approximation of Fork / Join
In this paper we present an approximate analysis of fork/join prim-itives with two parallel servers, limited buuers and non-zero join times where either jobs arrive according to a Poisson process (open system) or the number of jobs is limited according to the CONWIP rule (closed system). The approximation method is based on the concept of ow-equivalent servers and enables the approximate analys...
متن کاملOn Hausdorff’s moment problem in higher dimensions
Denote by μn = ∫ x n1 1 . . . x nd d dμ(x) the n’th moment of a Borel probability measure μ on the unit cube I = [0, 1] in R. Generalizing results of Hausdorff, Hildebrandt and Schoenberg, we give a sufficient condition in terms of moments, that μ is absolutely continuous with respect to a second Borel measure ν on I. We also review a constructive approximation of measures by atomic measures us...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2021
ISSN: 1556-5068
DOI: 10.2139/ssrn.3823002