Related papers: Multiportfolio time consistency for set-valued con…
Stability analysis and control of linear impulsive systems is addressed in a hybrid framework, through the use of continuous-time time-varying discontinuous Lyapunov functions. Necessary and sufficient conditions for stability of impulsive…
In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the position. This will be called horizon risk. We clarify that…
The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in…
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation…
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dynamic programming approach fails. We…
Conformal risk control is an extension of conformal prediction for controlling risk functions beyond miscoverage. The original algorithm controls the expected value of a loss that is monotonic in a one-dimensional parameter. Here, we…
It is important for a portfolio manager to estimate and analyze recent portfolio volatility to keep the portfolio's risk within limit. Though the number of financial instruments in the portfolio can be very large, sometimes more than…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Extant "fast" algorithms for Monte Carlo confidence sets are limited to univariate shift parameters for the one-sample and two-sample problems using the sample mean as the test statistic; moreover, some do not converge reliably and most do…
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…
In this paper, probabilistic guarantees for constraint sampling of multistage robust convex optimization problems are derived. The dynamic nature of these problems is tackled via the so-called scenario-with-certificates approach. This…
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MCARMA processes with L\'evy noise and present necessary and…
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are…
We consider a generalization of the multiple measurement vector (MMV) problem, where the measurement matrices are allowed to differ across measurements. This problem arises naturally when multiple measurements are taken over time, e.g., and…