3 papers
math.OC2019
General risk measures for robust machine learning
Emilie Chouzenoux, Henri Gérard, Jean-Christophe Pesquet
A wide array of machine learning problems are formulated as the minimization of the expectation of a convex loss function on some parameter space. Since the probability distributio…
q-fin.RM2017
Equivalence Between Time Consistency and Nested Formula
Henri Gérard, Michel de Lara, Jean-Philippe Chancelier
You are a financial analyst. At the beginning of every week, you are able to rank every pair of stochastic processes starting from that week up to the horizon. Suppose that two pro…
math.OC2017
On risk averse competitive equilibrium
Henri Gérard, Vincent Leclère, Andy Philpott
We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example tha…