2 papers
stat.ML2025
Contextual Strongly Convex Simulation Optimization: Optimize then Predict with Inexact Solutions
Nifei Lin, Heng Luo, L. Jeff Hong
In this work, we study contextual strongly convex simulation optimization and adopt an "optimize then predict" (OTP) approach for real-time decision making. In the offline stage, s…
q-fin.RM2024
Efficient Nested Estimation of CoVaR: A Decoupled Approach
Nifei Lin, Yingda Song, L. Jeff Hong
This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk.…