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math.ST2026
Efficient and Adaptive Estimation of Portfolio Weights with Spectral Risk Measures
Kangjie Zhou, Ming Yuan
Spectral risk measures, including conditional value-at-risk (CVaR), generate a family of convex criteria for portfolio estimation. We study how the criterion should be chosen when…
math.ST2025
Basic Inequalities for First-Order Optimization with Applications to Statistical Risk Analysis
Seunghoon Paik, Kangjie Zhou, Matus Telgarsky +1
In this work, we introduce for first-order iterative optimization algorithms, forming a simple yet versatile framework which connects implicit and exp…
math.ST2025
A statistical theory of overfitting for imbalanced classification
Jingyang Lyu, Kangjie Zhou, Yiqiao Zhong
Classification with imbalanced data is a common challenge in data analysis, where certain classes (minority classes) account for a small fraction of the training data compared with…