A framework that applies a risk measure on a distribution of models, approximated by subsampling, robustifies financial optimization against model uncertainty and scales via a memory-efficient CVaR-SGD algorithm.
Bailey, Jonathan M
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Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
A framework that applies a risk measure on a distribution of models, approximated by subsampling, robustifies financial optimization against model uncertainty and scales via a memory-efficient CVaR-SGD algorithm.