Related papers: Spectral Risk Measures: Properties and Limitations
This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends produced by a risky asset. We now assume…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
The aim of this study is to present proofs for new theorems. Basic thoughts of new definitions emerge from the decision-making under uncertainty in economics and finance. Shape of the certain utility curve is central to standard definitions…
We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and expected shortfall (ES) are ineffective in…
Recently, frequency security is challenged by high uncertainty and low inertia in power system with high penetration of Renewable Energy Sources (RES). In the context of Unit Commitment (UC) problems, frequency security constraints…
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…
The increasing availability of advanced computational modelling offers new opportunities to improve safety, efficacy, and emissions reductions. Application of complex models to support engineering decisions has been slow in comparison to…
Offline reinforcement learning (RL) is suitable for safety-critical domains where online exploration is too costly or dangerous. In such safety-critical settings, decision-making should take into consideration the risk of catastrophic…
Invariant risk minimization (IRM) has received increasing attention as a way to acquire environment-agnostic data representations and predictions, and as a principled solution for preventing spurious correlations from being learned and for…
Difficulty of safety-related software standards to help producing software for safe systems is discussed. Some research activity and other actions are proposed to focus on and possibly resolve long-lasting related problems.
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
This paper develops risk-averse models to support system operators in planning and operating the electricity grid under uncertainty from renewable power generation. We incorporate financial risk hedging using conditional value at risk…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference…
Electricity production via solar energy is tackled via short-term forecasts and risk management. Our main tool is a new setting on time series. It allows the definition of "confidence bands" where the Gaussian assumption, which is not…
We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP is assumed to have Borel state and action spaces and the cost…
Flexibility options, such as demand response, energy storage and interconnection, have the potential to reduce variation in electricity prices between different future scenarios, therefore reducing investment risk. Moreover, investment in…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
These notes offer a unified introduction to spectral methods for the study of complex systems. They are intended as an operative manual rather than a theorem-proof textbook: the emphasis is on tools, identities, and perspectives that can be…
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…