Related papers: Spectral Risk Measures: Properties and Limitations
This paper evaluates and classifies existing and emerging energy-control technologies for computer networks based on their relative value functions. Using formal decision analysis methods, we demonstrate the impact of risk-benefit…
Background: Risk-taking is prevalent in a host of activities performed by software engineers on a daily basis, yet there is scant research on it. Aims and Method: We study if software engineers' risk-taking is affected by framing effects…
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity…
Large Reasoning Models (LRMs) have exhibited extraordinary prowess in tasks like mathematics and coding, leveraging their advanced reasoning capabilities. Nevertheless, as these capabilities progress, significant concerns regarding their…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
Performativity, the phenomenon where outcomes are influenced by predictions, is particularly prevalent in social contexts where individuals strategically respond to a deployed model. In order to preserve the high accuracy of machine…
We introduce a simple but effective method for managing risk in model-based reinforcement learning with trajectory sampling that involves probabilistic safety constraints and balancing of optimism in the face of epistemic uncertainty and…
Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to…
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete. the…
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and…
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
Empirical risk minimization can lead to poor generalization behavior on unseen environments if the learned model does not capture invariant feature representations. Invariant risk minimization (IRM) is a recent proposal for discovering…
An assessment on the capabilities of modern spectropolarimeters and magnetographs is in order since most of our astrophysical results rely upon the accuracy of the instrumentation and on the sensitivity of the observables to variations of…
Motivated by recent work on monotone additive statistics and questions regarding optimal risk sharing for return-based risk measures, we investigate the existence, structure, and applications of Meyer risk measures. Those are monetary risk…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
The importance of security metrics can hardly be overstated. Despite the attention that has been paid by the academia, government and industry in the past decades, this important problem stubbornly remains open. In this survey, we present a…