| Autor: |
Chen, Huhui, Dentcheva, Darinka, Lin, Yang, Stock, Gregory J. |
| Rok vydání: |
2024 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the evaluation and comparison of risk in decision-making contexts and extends to functionals that arise in machine learning methods. A generalized family of composite risk functionals is presented, which encompasses most of the known coherent risk measures including systemic measures of risk. The paper makes two main contributions. First, we analyze vector-valued functionals, providing a framework for evaluating high-dimensional risks. This framework facilitates the comparison of multiple risk measures, as well as the estimation and asymptotic analysis of systemic risk and its optimal value in decision-making problems. Second, we derive novel central limit theorems for optimized composite functionals when mixed types of estimators: empirical and smoothed estimators are used. We provide verifiable sufficient conditions for the central limit formulae and show their applicability to several popular measures of risk. |
| Databáze: |
arXiv |
| Externí odkaz: |
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