Related papers: Variational inequality method in stock loans
The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure…
The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the…
Originally introduced in cooperative game theory, Shapley values have become a very popular tool to explain machine learning predictions. Based on Shapley's fairness axioms, every input (feature component) gets a credit how it contributes…
We first prove some weighted inequalities for compositions of functions on time scales which are in turn applied to establish some new dynamic Opial-type inequalities in several variables. Some generalizations and applications to partial…
The classical concept of inequality curves and measures is extended to conditional inequality curves and measures and a curve of conditional inequality measures is introduced. This extension provides a more nuanced analysis of inequality in…
In the present paper we consider the varying coefficient model which represents a useful tool for exploring dynamic patterns in many applications. Existing methods typically provide asymptotic evaluation of precision of estimation…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
We discuss two numerical methods, based on a path integral approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo approach, and the Green function deterministic…
The main goal of this paper is to present the application of a superiorization methodology to solution of variational inequalities. Within this framework a variational inequality operator is considered as a small perturbation of a convex…
The "variance method" has been used to prove many classical inequalities in design theory and coding theory. The purpose of this expository note is to review and present some of these inequalities in a unified setting. I will also discuss…
Accurately predicting stock returns is crucial for effective portfolio management. However, existing methods often overlook a fundamental issue in the market, namely, distribution shifts, making them less practical for predicting future…
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…
The aim of this paper is to present an extragradient method for variational inequality associated to a point-to-set vector field in Hadamard manifolds and to study its convergence properties. In order to present our method the concept of…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
Access to capital is a major constraint for economic growth in the developing world. Yet those attempting to lend in this space face high defaults due to their inability to distinguish creditworthy borrowers from the rest. In this paper, we…
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash…
In this paper, a new method of detection of election fraud is proposed. This method is based on the calculation of the ratio of two standard normal random variables; estimation of parameters of obtained sample and comparison of these…
We study nested variational inequalities, which are variational inequalities whose feasible set is the solution set of another variational inequality. We present a projected averaging Tikhonov algorithm requiring the weakest conditions in…
The coefficient of variation is a useful indicator for comparing the spread of values between dataset with different units or widely different means. In this paper we address the problem of investigating the equality of the coefficients of…
We discuss the use of inequalities to obtain the solution of certain variational problems on time scales.