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12/22/2019
Estimation of Spectral Risk Measures
We consider the problem of estimating a spectral risk measure (SRM) from...
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11/19/2019
Bidding in Smart Grid PDAs: Theory, Analysis and Strategy (Extended Version)
Periodic Double Auctions (PDAs) are commonly used in the real world for ...
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02/27/2019
Improved Concentration Bounds for Conditional Value-at-Risk and Cumulative Prospect Theory using Wasserstein distance
Known finite-sample concentration bounds for the Wasserstein distance be...
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08/06/2018