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Results tagged with convex-optimization
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user 159841
Optimization with convex constraints and convex objectives; notions related to convex optimization such as sub-gradients, normal cones, separating hyperplanes
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Convex optimization under asymmetric loss in infinite dimensional space
The following problem is common in financial economics
$$ \min_{m \in L^2} \mathbb{E}[ \phi(y(\theta)-m)] \quad \text{s.t. } \mathbb{E}[ mx ]= q $$
That is, given a random variable $y(\theta)$ ($\thet …
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