Consistency of Sample Estimates of Risk Averse Stochastic Programs

DOI10.1239/jap/1371648959zbMath1301.62045OpenAlexW2015637491MaRDI QIDQ5299576

Alexander Shapiro

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648959

zbMATH Keywords

stochastic programminglaw of large numberssample average approximationepiconvergenceconsistency of statistical estimatorslaw-invariant convex and coherent risk measures

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Stochastic programming (90C15) Strong limit theorems (60F15)

Related Items (8)

A new coherent multivariate average-value-at-risk ⋮ Distributionally Robust Stochastic Programming ⋮ Distributionally robust stochastic variational inequalities ⋮ Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? ⋮ Periodical Multistage Stochastic Programs ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems ⋮ Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity

Cites Work

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• Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
• Coherent Measures of Risk
• Lectures on Stochastic Programming
• Asymptotic consistency of risk functionals
• Variational Analysis
• Optimization of Convex Risk Functions
• Stochastic finance. An introduction in discrete time

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