Related papers: Representation Theory for Risk On Markowitz-Tversk…
We employ scoring functions, used in statistics for eliciting risk functionals, as cost functions in the Monge-Kantorovich (MK) optimal transport problem. This gives raise to a rich variety of novel asymmetric MK divergences, which subsume…
We analyse volume-preserving actions of product groups on Riemannian manifolds. To this end, we establish a new superrigidity theorem for ergodic cocycles of product groups ranging in linear groups. There are no a priori assumptions on the…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show…
In this paper we study the analytic torsion and the $L^2$-torsion of compact locally symmetric manifolds. We consider the analytic torsion with respect to representations of the fundamental group which are obtained by restriction of…
We establish a Cheeger-Muller theorem for unimodular representations satisfying a Witt condition on a noncompact manifold with cusps. This class of spaces includes all non-compact hyperbolic spaces of finite volume, but we do not assume…
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…
We develop causality theory for upper semi-continuous distributions of cones over manifolds generalizing results from mathematical relativity in two directions: non-round cones and non-regular differentiability assumptions. We prove the…
The paper is devoted to the index theory of orbital and transverse elliptic operators on manifolds with a proper Lie group action. It corrects errors of my previous paper (published in JNCG in 2016) on transverse operators and contains new…
This study investigates the influence of risk tolerance on the expected utility in the long run. We estimate the extent to which the expected utility of optimal portfolios is affected by small changes in the risk tolerance. For this…
Antiunitary representations of Lie groups take values in the group of unitary and antiunitary operators on a Hilbert space H. In quantum physics, antiunitary operators implement time inversion or a PCT symmetry, and in the modular theory of…
We generalize Roe's Index Theorem for operators of Dirac type on open manifolds to elliptic pseudodifferential operators. To this end we introduce a class of pseudodifferential operators on manifolds of bounded geometry which is more…
Ergodic theory includes several notions of entropy for probability-preserving actions of countable groups. These include Kolmogorov--Sinai entropy based on F\o lner sequences for amenable groups, entropy defined using a random ordering of…
We introduce uniform K-stability and its relationship with the coercivity property of the K-energy functional, for general polarized manifolds. Since the automorphism groups are not necessarily finite, size of the norm measuring uniformity…
A fundamental aspect of turbulence theory is related to the identification of realizable phase-space statistical descriptions able to reproduce in some suitable sense the stochastic fluid equations of a turbulent fluid. In particular, a…
We define and investigate the concept of the groupoid representation induced by a representation of the isotropy subgroupoid. Groupoids in question are locally compact transitive topological groupoids. We formulate and prove the…
We establish a compensated compactness theorem in the microlocal and geometric analytic framework. For a weakly $L^2_{\rm loc}$-convergent sequence of sections of a vector bundle over a semi-Riemannian manifold whose image under a…
There are two approaches to projective representation theory of symmetric and alternating groups, which are powerful enough to work for modular representations. One is based on Sergeev duality, which connects projective representation…
In this article, we establish exponential turnpike theorems for a class of nonlinear deterministic meanfield optimal control problems. We carry out our analysis simultaneously in the so-called Lagrangian and Eulerian frameworks. In the…
We consider the issue of solution uniqueness for portfolio optimization problem and its inverse for asset returns with a finite number of possible scenarios. The risk is assessed by deviation measures introduced by [Rockafellar et al.,…