2009
NIPS
NeurIPS 2009
A General Projection Property for Distribution Families
Abstract
We prove that linear projections between distribution families with fixed first and second moments are surjective, regardless of dimension. We further extend this result to families that respect additional constraints, such as symmetry, unimodality and log-concavity. By combining our results with classic univariate inequalities, we provide new worst-case analyses for natural risk criteria arising in different fields. One discovery is that portfolio selection under the worst-case value-at-risk and conditional value-at-risk criteria yields identical portfolios.
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Interdisciplinary Bridge
— Machine Learning and Mathematics & Optimization
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Trend Setter
— Risk Management
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Keyword Pioneer
— distribution families
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Cross-Pollinator
— Artificial Intelligence, Computer Science, Machine Learning, Mathematics & Optimization, Natural Language Processing, Reinforcement Learning
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Hot Topic Early Bird
— stochastic optimization
Authors
Topics
Machine Learning > Application Areas > Risk Management
Mathematics & Optimization > Mathematics > Probability
Mathematics & Optimization > Mathematics > Statistics
Mathematics & Optimization > Optimization > Convex Optimization
Mathematics & Optimization > Probability > Stochastic Processes
Data Science & Analytics > Applications > Risk Management