Related papers: Dynamic Coherent Acceptability Indices and their A…
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…
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spaces and construct their robust counterparts through families…
Conformance is defined as a measure of distance between the behaviors of two dynamical systems. The notion of conformance can accelerate system design when models of varying fidelities are available on which analysis and control design can…
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…
Research on environmental risk modeling relies on numerous indicators to quantify the magnitude and frequency of extreme climate events, their ecological, economic, and social impacts, and the coping mechanisms that can reduce or mitigate…
A new chaotic financial system is proposed by considering ethics involvement in a four-dimensional financial system with market confidence. A five-dimensional conformable derivative financial system is presented by introducing conformable…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
Deep sequence models are receiving significant interest in current machine learning research. By representing probability distributions that are fit to data using maximum likelihood estimation, such models can model data on general…
The system decomposition theory has recently been developed for the dynamic analysis of nonlinear compartmental systems. The application of this theory to the ecosystem analysis has also been introduced in a separate article. Based on this…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
Dynamic systems are ubiquitous in nature and are used to model many processes in biology, chemistry, physics, medicine, and engineering. In particular, systems of ordinary differential equations are commonly used for the mathematical…
Science and technology have a growing need for effective mechanisms that ensure reliable, controlled performance from black-box machine learning algorithms. These performance guarantees should ideally hold conditionally on the input-that is…
There is generally a need to deal with quality change and new goods in the consumer price index due to the underlying dynamic item universe. Traditionally axiomatic tests are defined for a fixed universe. We propose five tests explicitly…
Methods to quantify uncertainty in predictions from arbitrary models are in demand in high-stakes domains like medicine and finance. Conformal prediction has emerged as a popular method for producing a set of predictions with specified…
We develop a new classification framework based on the theory of coherent risk measures and systemic risk. The proposed approach is suitable for multi-class problems when the data is noisy, scarce (relative to the dimension of the problem),…
We provide a formal framework accounting for a widespread idea in the theory of economic design: analytically established incompatibilities between given axioms should be qualified by the likelihood of their violation. We define the degree…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
We construct and analyze an estimator of association between random variables based on their similarity in both direction and magnitude. Under special conditions, the proposed measure becomes a robust and consistent estimator of the linear…