163 citations · 237 across the 9 of their papers we have counts for
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q-fin.RM2018
Robustness in the Optimization of Risk Measures
Paul Embrechts, Alexander Schied, Ruodu Wang
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement rel…
stat.ML2018★ 163 cited
Data-driven polynomial chaos expansion for machine learning regression
E. Torre, S. Marelli, P. Embrechts +1
We present a regression technique for data-driven problems based on polynomial chaos expansion (PCE). PCE is a popular technique in the field of uncertainty quantification (UQ), wh…