Related papers: Risk Concentration and Diversification: Second-Ord…
We consider a class of combinatorial optimization problems that emerge in a variety of domains among which: condensed matter physics, theory of financial risks, error correcting codes in information transmissions, molecular and protein…
There is a duality theory connecting certain stochastic orderings between cumulative distribution functions F_1,F_2 and stochastic orderings between their inverses F_1^(-1),F_2^(-1). This underlies some theories of utility in the case of…
Risk mining technologies seek to find relevant textual extractions that capture entity-risk relationships. However, when high volume data sets are processed, a multitude of relevant extractions can be returned, shifting the focus to how…
In the work, the property of the second-order subdifferential is studied and second-order optimality conditions are obtained for the minimization problem. We also obtained necessary and sufficient conditions for an extremum for the extremal…
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
Tilt stability is a fundamental concept of variational analysis and optimization that plays a pivotal role in both theoretical issues and numerical computations. This paper investigates tilt stability of local minimizers for a general class…
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order…
Efforts to apply economic complexity to identify diversification opportunities often rely on diagrams comparing the relatedness and complexity or products, technologies, or industries. Yer, the use of these diagrams is not based on…
This paper sheds new light on several interrelated topics of second-order variational analysis, both in finite and infinite-dimensional settings. We establish new relationships between second-order growth conditions on functions, the basic…
Variational analysis provides the theoretical foundations and practical tools for constructing optimization algorithms without being restricted to smooth or convex problems. We survey the central concepts in the context of a concrete but…
Second-order variational properties have been shown to play important theoretical and numerical roles for different classes of optimization problems. Among such properties, twice epi-differentiability has a special place because of its…
Second-order structured deformations of continua provide an extension of the multiscale geometry of first-order structured deformations by taking into account the effects of submacroscopic bending and curving. We derive here an integral…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them. ----- Se analiza el principio de…