When decisions are based on empirical observations,a trade-off arises between flexibility of the decision and ability to generalize to new situations.In this paper,we focus on decisions that are obtained by the empiri...When decisions are based on empirical observations,a trade-off arises between flexibility of the decision and ability to generalize to new situations.In this paper,we focus on decisions that are obtained by the empirical minimization of the Conditional Value-at-Risk(CVa R)and argue that in CVa R the trade-off between flexibility and generalization can be understood on the ground of theoretical results under very general assumptions on the system that generates the observations.The results have implications on topics related to order and structure selection in various applications where the CVa R risk-measure is used.A study on a portfolio optimization problem with real data demonstrates our results.展开更多
基金partially Regione Lombardia under Grant MoSoRe E81B19000840007。
文摘When decisions are based on empirical observations,a trade-off arises between flexibility of the decision and ability to generalize to new situations.In this paper,we focus on decisions that are obtained by the empirical minimization of the Conditional Value-at-Risk(CVa R)and argue that in CVa R the trade-off between flexibility and generalization can be understood on the ground of theoretical results under very general assumptions on the system that generates the observations.The results have implications on topics related to order and structure selection in various applications where the CVa R risk-measure is used.A study on a portfolio optimization problem with real data demonstrates our results.
