منابع مشابه
Risk minimization under transaction costs
We study the general problem of an agent wishing to minimize the risk of a position at a fixed date. The agent trades in a market with a risky asset, with incomplete information, proportional transaction costs, and possibly constraints on strategies. In particular, this framework includes the problems of hedging contingent claims and maximizing utility from wealth. We obtain a minimization prob...
متن کاملMaking risk minimization tolerant to label noise
In many applications, the training data, from which one needs to learn a classifier, is corrupted with label noise. Many standard algorithms such as SVM perform poorly in presence of label noise. In this paper we investigate the robustness of risk minimization to label noise. We prove a sufficient condition on a loss function for the risk minimization under that loss to be tolerant to uniform l...
متن کاملEmpirical Risk Minimization under Fairness Constraints
We address the problem of algorithmic fairness: ensuring that sensitive variables do not unfairly influence the outcome of a classifier. We present an approach based on empirical risk minimization, which incorporates a fairness constraint into the learning problem. It encourages the conditional risk of the learned classifier to be approximately constant with respect to the sensitive variable. W...
متن کاملLocal Risk-Minimization Under Transaction Costs
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy inclusive of transaction costs for e...
متن کاملConvergence of Minimization Estimators Trained Under Additive Noise
under the supervision of Dr. Lasse Holmström, whom I wish to thank for his guidance, encouragement and support during the work. It has been a pleasure to work in the comfortable and inspiring environment of the Rolf Nevanlinna Institute. I would like to thank my fellow workers for their help and friendship over these years. Note I have corrected some typographical errors of the original printed...
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ژورنال
عنوان ژورنال: IEEE Transactions on Cybernetics
سال: 2013
ISSN: 2168-2267,2168-2275
DOI: 10.1109/tsmcb.2012.2223460