Related papers: Deterministic definition of the capital risk
We study classical Hamiltonian systems in which the intrinsic proper time evolution parameter is related through a probability distribution to the physical time, which is assumed to be discrete. In this way, a physical clock with discrete…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of…
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
Motivated by optimal investment problems in mathematical finance, we consider a variational problem of Neyman-Pearson type for law-invariant robust utility functionals and convex risk measures. Explicit solutions are found for…
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
We consider a set of macroscopic (classical) degrees of freedom coupled to an arbitrary many-particle Hamiltonian system, quantum or classical. These degrees of freedom can represent positions of objects in space, their angles, shape…
According to quantum theory, randomness is a fundamental property of the universe yet classical physics is mostly deterministic. In this article I show that it is possible for deterministic systems to arise from random ones and discuss the…
In this paper we address the complexity of solving linear programming problems with a set of differential equations that converge to a fixed point that represents the optimal solution. Assuming a probabilistic model, where the inputs are…
At least two, different approaches to define and solve statistical models for the analysis of economic systems exist: the typical, econometric one, interpreting the Gravity Model specification as the expected link weight of an arbitrary…
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption…
A tradition handed down among physicists maintains that classical physics is a perfectly deterministic theory capable of predicting the future with absolute certainty, independently of any interpretations. It also tells that it was quantum…
We introduce a flow condition on open graph states (graph states with inputs and outputs) which guarantees globally deterministic behavior of a class of measurement patterns defined over them. Dependent Pauli corrections are derived for all…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
Both for the theoretical and practical treatment of Inverse Problems, the modeling of the noise is a crucial part. One either models the measurement via a deterministic worst-case error assumption or assumes a certain stochastic behavior of…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…