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q-fin.MF2024
Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus
Yuta Otsuki, Shotaro Yagishita
This paper proposes a new approach using the stochastic projected gradient method and Malliavin calculus for optimal reinsurance and investment strategies. Unlike traditional metho…
stat.CO2024
Fast algorithm for sparse least trimmed squares via trimmed-regularized reformulation
Shotaro Yagishita
The least trimmed squares (LTS) is a reasonable formulation of robust regression whereas it suffers from high computational cost due to the nonconvexity and nonsmoothness of its ob…