3 papers
math.PR2026
Asymptotic Probabilities of Attaining the Maximum in Heterogeneous Gaussian Samples
Chunxu Zhang, Baiqi Miao, Tiantian Mao
We study asymptotic probabilities of attaining the maximum in heterogeneous Gaussian samples. In the two-group setting, the first sample has variance and size , while the…
cs.LG2024
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
Qinyu Wu, Jonathan Yu-Meng Li, Tiantian Mao
Wasserstein distributionally robust optimization (DRO) has gained prominence in operations research and machine learning as a powerful method for achieving solutions with favorable…
q-fin.RM2024
Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
Tiantian Mao, Gilles Stupfler, Fan Yang
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected ut…