2 citations · 2 across the 15 of their papers we have counts for
6 papers · 1 filter
Subdifferentials of Convex Operators Valued in the Space of Integrable Functions with Application to Risk-Averse Optimization
Darinka Dentcheva, Andrzej Ruszczynski
We study differentiability properties of convex operators defined on a Banach space with values in an $\Lc_p$ space and of their compositions with monotonic convex functionals on t…
Relaxation of stochastic dominance constraints via optimal mass transport
Darinka Dentcheva, Yunxuan Yi
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison…
Fair Risk Optimization of Distributed Systems
Aray Almen, Darinka Dentcheva
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which…
Risk-averse Fair Multi-class Classification
Darinka Dentcheva, Xiangyu Tian
We develop a new classification framework based on the theory of coherent risk measures and systemic risk. The proposed approach is suitable for multi-class problems when the data…
Asset liability management under sequential stochastic dominance constraints
Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni +1
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital inves…
Central limit theorems for vector-valued composite functionals with smoothing and applications
Huihui Chen, Darinka Dentcheva, Yang Lin +1
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when…