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Articoli di riviste sul tema "Superquantiles"

Autore: Grafiati
Pubblicato: 7 dicembre 2024
Ultima modifica: 31 luglio 2025

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1

Rio, Emmanuel. "Upper bounds for superquantiles of martingales." Comptes Rendus. Mathématique 359, no. 7 (2021): 813–22. http://dx.doi.org/10.5802/crmath.207.

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2

D, Coulibaly, Badiane Sihintoe, Kalivogui Siba, and Ghizlane Chaibi. "A Comprehensive Examination of CVaR and bPOE in Common Probability Distributions: Applications in Portfolio Optimization and Density Estimation." American Journal of Information Science and Technology 9, no. 2 (2025): 111–27. https://doi.org/10.11648/j.ajist.20250902.15.

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Abstract (sommario):
This study examines portfolio risk assessment in finance using advanced quantile and superquantile techniques. The portfolio analyzed consists of widely recognized stocks, including Apple (AAPL), Microsoft (MSFT), Alphabet (GOOGL), and Tesla (TSLA). The primary objective is to enhance the accuracy and robustness of financial risk evaluation for such a portfolio. To achieve this, we developed innovative methods for computing quantiles and superquantiles, leveraging various probability distributions. In particular, we explored the Exponential, Gumbel, Frchet, and α-stable distributions to model
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3

Laguel, Yassine, Krishna Pillutla, Jérôme Malick, and Zaid Harchaoui. "Superquantiles at Work: Machine Learning Applications and Efficient Subgradient Computation." Set-Valued and Variational Analysis 29, no. 4 (2021): 967–96. http://dx.doi.org/10.1007/s11228-021-00609-w.

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4

Kala, Zdeněk. "Global Sensitivity Analysis of Quantiles: New Importance Measure Based on Superquantiles and Subquantiles." Symmetry 13, no. 2 (2021): 263. http://dx.doi.org/10.3390/sym13020263.

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The article introduces quantile deviation l as a new sensitivity measure based on the difference between superquantile and subquantile. New global sensitivity indices based on the square of l are presented. The proposed sensitivity indices are compared with quantile-oriented sensitivity indices subordinated to contrasts and classical Sobol sensitivity indices. The comparison is performed in a case study using a non-linear mathematical function, the output of which represents the elastic resistance of a slender steel member under compression. The steel member has random imperfections that reduc
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5

Dedecker, Jérôme, and Florence Merlevède. "Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case." Statistics 56, no. 1 (2022): 53–72. http://dx.doi.org/10.1080/02331888.2022.2043325.

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6

Mafusalov, Alexander, and Stan Uryasev. "CVaR (superquantile) norm: Stochastic case." European Journal of Operational Research 249, no. 1 (2016): 200–208. http://dx.doi.org/10.1016/j.ejor.2015.09.058.

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7

Rockafellar, R. Tyrrell, and Johannes O. Royset. "Superquantile/CVaR risk measures: second-order theory." Annals of Operations Research 262, no. 1 (2016): 3–28. http://dx.doi.org/10.1007/s10479-016-2129-0.

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8

Laguel, Yassine, Jérôme Malick, and Zaid Harchaoui. "Superquantile-Based Learning: A Direct Approach Using Gradient-Based Optimization." Journal of Signal Processing Systems 94, no. 2 (2022): 161–77. http://dx.doi.org/10.1007/s11265-021-01716-5.

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9

Nair, N. Unnikrishnan, S. M. Sunoj, and Silpa Subhash. "Superquantile function of order n and their applications in reliability and entropy." Statistics & Probability Letters 225 (October 2025): 110457. https://doi.org/10.1016/j.spl.2025.110457.

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10

Rockafellar, R. T., J. O. Royset, and S. I. Miranda. "Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk." European Journal of Operational Research 234, no. 1 (2014): 140–54. http://dx.doi.org/10.1016/j.ejor.2013.10.046.

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11

Golodnikov, Kuzmenko, and Uryasev. "CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles." Journal of Risk and Financial Management 12, no. 3 (2019): 107. http://dx.doi.org/10.3390/jrfm12030107.

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Abstract (sommario):
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR linear regression can be reduced to minimizing the Rockafellar error function with linear programming. The theoretical basis for the analysis is established with the quadrangle theory of risk functions. We derived relationships bet
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12

Labopin-Richard, T., F. Gamboa, A. Garivier, and B. Iooss. "Bregman superquantiles. Estimation methods and applications." Dependence Modeling 4, no. 1 (2016). http://dx.doi.org/10.1515/demo-2016-0004.

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Abstract (sommario):
AbstractIn thiswork,we extend some parameters built on a probability distribution introduced before to the casewhere the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile (thatwe can connect with severalworks in economy, see for example [18] or [9]). Axioms of a coherent measure of risk discussed previously (see [31] or [3]) are studied in the case of Bregman superquantile. Furthermore,we deal with asymptotic properties of aMonte Carlo estimator of the Bregman superquantile. Several numerical tests confirm the th
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13

Bercu, Bernard, Manon Costa, and Sébastien Gadat. "Stochastic approximation algorithms for superquantiles estimation." Electronic Journal of Probability 26, e (2021). http://dx.doi.org/10.1214/21-ejp648.

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14

Bercu, Bernard, Jérémie Bigot, and Gauthier Thurin. "Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements." Electronic Journal of Statistics 18, no. 2 (2024). http://dx.doi.org/10.1214/24-ejs2279.

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15

Meloni, Carlo, and Marco Pranzo. "Evaluation of the quantiles and superquantiles of the makespan in interval valued activity networks." Computers & Operations Research, November 2022, 106098. http://dx.doi.org/10.1016/j.cor.2022.106098.

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16

Costa, Manon, and Sébastien Gadat. "Non asymptotic controls on a recursive superquantile approximation." Electronic Journal of Statistics 15, no. 2 (2021). http://dx.doi.org/10.1214/21-ejs1908.

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17

Pillutla, Krishna, Yassine Laguel, Jérôme Malick, and Zaid Harchaoui. "Federated learning with superquantile aggregation for heterogeneous data." Machine Learning, May 16, 2023. http://dx.doi.org/10.1007/s10994-023-06332-x.

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18

Német, Nikolett, Arpad Curko, András Vukics, and Peter Domokos. "Superquantization rule for multistability in driven-dissipative quantum systems." New Journal of Physics, August 28, 2024. http://dx.doi.org/10.1088/1367-2630/ad748f.

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Abstract (sommario):
Abstract We present a superquantization rule which indicates the possible robust stationary states of a generic driven-dissipative quantum system. Multistability in a driven cavity mode interacting with a qudit is revealed hence within a simple intuitive picture. The accuracy of the superquantization approach is confirmed by numerical simulations of the underlying quantum model. In the case when the qudit is composed of several two-level emitters coupled homogeneously to the cavity, we demonstrate the robustness of the superquantized steady states to single-emitter decay.
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19

Royset, J. O., L. Bonfiglio, G. Vernengo, and S. Brizzolara. "Risk-Adaptive Set-Based Design and Applications to Shaping a Hydrofoil." Journal of Mechanical Design 139, no. 10 (2017). http://dx.doi.org/10.1115/1.4037623.

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The paper presents a framework for set-based design under uncertainty and demonstrates its viability through designing a super-cavitating hydrofoil of an ultrahigh speed vessel. The framework achieves designs that safely meet the requirements as quantified precisely by superquantile measures of risk (s-risk) and reduces the complexity of design under uncertainty. S-risk ensures comprehensive and decision-theoretically sound assessment of risk and permits a decoupling of parametric uncertainty and surrogate (model) uncertainty. The framework is compatible with any surrogate building technique,
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20

Iooss, Bertrand, Vanessa Vergès, and Vincent Larget. "BEPU robustness analysis via perturbed law-based sensitivity indices." Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, July 28, 2021, 1748006X2110365. http://dx.doi.org/10.1177/1748006x211036569.

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The “best-estimate plus uncertainty” (BEPU) methodology is the term used in the nuclear engineering community when dealing with uncertainty quantification issues in realistic numerical simulation models. One of the most critical hypothesis in these studies is the choice of the probability distributions of uncertain input variables which are propagated through the model. Bringing stringent justifications to the BEPU approach, especially in a safety study, requires quantifying the impact of potential uncertainty on the input variable distribution. To solve this problem, this paper deepens the ro
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21

He, Xuming, Kean Ming Tan, and Wen-Xin Zhou. "Robust estimation and inference for expected shortfall regression with many regressors." Journal of the Royal Statistical Society Series B: Statistical Methodology, June 15, 2023. http://dx.doi.org/10.1093/jrsssb/qkad063.

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Abstract (sommario):
Abstract Expected shortfall (ES), also known as superquantile or conditional value-at-risk, is an important measure in risk analysis and stochastic optimisation and has applications beyond these fields. In finance, it refers to the conditional expected return of an asset given that the return is below some quantile of its distribution. In this paper, we consider a joint regression framework recently proposed to model the quantile and ES of a response variable simultaneously, given a set of covariates. The current state-of-the-art approach to this problem involves minimising a non-differentiabl
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