Zobrazeno 1 - 10
of 142
pro vyhledávání: '"RUDLOFF, BIRGIT"'
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost to society.
Externí odkaz:
http://arxiv.org/abs/2311.14588
Autor:
Kováčová, Gabriela, Rudloff, Birgit
We consider the problem of projecting a convex set onto a subspace, or equivalently formulated, the problem of computing a set obtained by applying a linear mapping to a convex feasible set. This includes the problem of approximating convex sets by p
Externí odkaz:
http://arxiv.org/abs/2310.11403
In Feinstein and Rudloff (2023), it was shown that the set of Nash equilibria for any non-cooperative $N$ player game coincides with the set of Pareto optimal points of a certain vector optimization problem with non-convex ordering cone. To avoid dea
Externí odkaz:
http://arxiv.org/abs/2310.04176
This paper is concerned with solution algorithms for general convex vector optimization problems (CVOPs). So far, solution concepts and approximation algorithms for solving CVOPs exist only for bounded problems [Ararat et al. 2022, Doerfler et al. 20
Externí odkaz:
http://arxiv.org/abs/2207.03200
Autor:
Feinstein, Zachary, Rudloff, Birgit
In this paper, we design a neural network architecture to approximate the weakly efficient frontier of convex vector optimization problems (CVOP) satisfying Slater's condition. The proposed machine learning methodology provides both an inner and oute
Externí odkaz:
http://arxiv.org/abs/2205.07077
Autor:
Feinstein, Zachary, Rudloff, Birgit
Nash equilibria and Pareto optimality are two distinct concepts when dealing with multiple criteria. It is well known that the two concepts do not coincide. However, in this work we show that it is possible to characterize the set of all Nash equilib
Externí odkaz:
http://arxiv.org/abs/2109.14932
Autor:
Kováčová, Gabriela, Rudloff, Birgit
In this paper we consider a problem, called convex projection, of projecting a convex set onto a subspace. We will show that to a convex projection one can assign a particular multi-objective convex optimization problem, such that the solution to tha
Externí odkaz:
http://arxiv.org/abs/2103.04076
The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem the acceptability maximization. First, we study the one-period (stati
Externí odkaz:
http://arxiv.org/abs/2012.11972
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero sum case, they may have different values at different equilibriums. Instead of focusing on the existence of individual equilibriums, we study the set
Externí odkaz:
http://arxiv.org/abs/2002.00449
Publikováno v:
Electronic Journal of Statistics, Volume 15, Number 1 (2021), 1034-1084
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A functional is elicitable if it is the unique minimiser of an expected scoring
Externí odkaz:
http://arxiv.org/abs/1910.07912