Article
Costa, Manon, Gadat, Sébastien
and Huang, Lorick
(2024)
CV@R penalized portfolio optimization with biased stochastic mirror descent.
Finance and Stochastics.
(In Press)
Bercu, Bernard, Gadat, Sébastien
and Costa, Manon
(2021)
Stochastic approximation algorithms for superquantiles estimation.
Electronic Journal of Probability, vol. 26 (n° 84).
pp. 1-29.
Gadat, Sébastien and Costa, Manon
(2021)
Non-Asymptotic Study of a Recursive Superquantile Estimation Algorithm.
Electronic Journal of Statistics, vol.15 (n°2).
pp. 4718-4769.
Costa, Manon, Gadat, Sébastien
, Gonnord, Pauline
and Risser, Laurent
(2019)
Cytometry inference through adaptive atomic deconvolution.
Journal of Nonparametric Statistics, vol. 31 (n° 2).
pp. 506-547.
Monograph
Gadat, Sébastien and Costa, Manon
(2020)
Non asymptotic controls on a stochastic algorithm for superquantile approximation.
TSE Working Paper, n. 20-1149, Toulouse