Related papers: Time Varying Risk Aversion: An Application to Ener…
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application is the composition of a HARA preference and a piecewise…
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe…
This work proposes a conformal approach for energy storage arbitrage to control the downside risk arising from imperfect price forecasts. Energy storage arbitrage relies solely on predictions of future market prices, while inaccurate price…
Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this paper, we propose two econometric models, which integrate…
Orthogonal Generalized Autoregressive Conditional Heteroskedasticity model (OGARCH) is widely used in finance industry to produce volatility and correlation forecasts. We show that the classic OGARCH model, nevertheless, tends to be too…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. We show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is…
We use a series of pre-registered, incentive-compatible online experiments to investigate how people evaluate and choose among different waiting time distributions. Our main findings are threefold. First, consistent with prior literature,…
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that causes the ESO's holder to exercise the option early, namely,…
Energy storage devices, such as batteries, thermal energy storages, and hydrogen systems, can help mitigate climate change by ensuring a more stable and sustainable power supply. To maximize the effectiveness of such energy storage,…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
We tackle the problem of estimating risk measures of the infinite-horizon discounted cost within a Markov cost process. The risk measures we study include variance, Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR). First, we show…
This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is needed. In this paper, a model is suggested built on a…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…
Volatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility…
We address deterministic resource allocation in point-to-point multi-terminal AWGN channels without inter-terminal interference, with particular focus on optimizing quantile transmission rates for cell-edge terminal service. Classical…