2 papers
math.ST2025
On-line Pick-Freeze Mirror algorithm for Sensitity Analysis
Manon Costa, Sébastien Gadat, Xavier Gendre +1
The main objective of this paper is to propose a new approach for estimating the entire collection of Sobol' indices simultaneously. Our approach exploits the fact that Sobol' indi…
math.OC2024
CV@R penalized portfolio optimization with biased stochastic mirror descent
Manon Costa, Sébastien Gadat, Lorick Huang
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased M…