2 citations · 5 across the 5 of their papers we have counts for
6 papers
Preference Robust Modified Optimized Certainty Equivalent
Qiong Wu, Huifu Xu
Ben-Tal and Teboulle \cite{BTT86} introduce the concept of optimized certainty equivalent (OCE) of an uncertain outcome as the maximum present value of a combination of the cash to…
Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures
Wei Wang, Huifu Xu, Tiejun Ma
When estimating the risk of a financial position with empirical data or Monte Carlo simulations via a tail-dependent law invariant risk measure such as the Conditional Value-at-Ris…
Statistical Robustness of Empirical Risks in Machine Learning
Shaoyan Guo, Huifu Xu, Liwei Zhang
This paper studies convergence of empirical risks in reproducing kernel Hilbert spaces (RKHS). A conventional assumption in the existing research is that empirical training data do…
Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions
William B. Haskell, Wenjie Huang, Huifu Xu
Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-att…
Continuous Behavioural Function Equilibria and Approximation Schemes in Bayesian Games with Non-Finite Type and Action Spaces
Shaoyan Guo, Huifu Xu, Liwei Zhang
Meirowitz [17] showed existence of continuous behavioural function equilibria for Bayesian games with non-finite type and action spaces. A key condition for the proof of the existe…
Discrete Approximation of Two-Stage Stochastic and Distributionally Robust Linear Complementarity Problems
Xiaojun Chen, Hailin Sun, Huifu Xu
In this paper, we propose a discretization scheme for the two-stage stochastic linear complementarity problem (LCP) where the underlying random data are continuously distributed. U…