Related papers: On return rate implied by behavioural present valu…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
A random variable Z will be called self-inverse if it has the same distribution as its reciprocal 1/Z. It is shown that if Z is defined as a ratio, X/Y, of two rv's X and Y (with Pr[X=0]=Pr[Y=0]=0), then Z is self-inverse if and only if X…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
In a weak measurement the real and imaginary parts of a weak value participate in the shifts of the complementary variables of a pointer. While the real part represents the value of an observable in the limit of zero measurement strength,…
The reversed aging intensity function is defined as the ratio of the instantaneous reversed hazard rate to the baseline value of the reversed hazard rate. It analyzes the aging property quantitatively, the higher the reversed aging…
The recent empirical work of Amaya et al. (2015) has pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, serves as forecasting future returns in the cross-section.…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
A fractional fuzzy Potts measure is a probability distribution on spin configurations of a finite graph $G$ obtained in two steps: first a subgraph of $G$ is chosen according to a random cluster measure $\phi_{p,q}$, and then a spin…
This paper introduces the notion of fuzzy process as a formalism for the idea of fuzzy contact between a device and its environment. The notions of absolute correctness and relative correctness are defined. In order to work with concurrency…
We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…
In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often challenging, when at all…
Fluctuations of observables as functions of time, or "fluctuation patterns", are studied in a chaotic microscopically reversible system that has irreversibly reached a nonequilibrium stationary state. Supposing that during a certain, long…
Economic and financial theories and practice essentially deal with uncertain future. Humans encounter uncertainty in different kinds of activity, from sensory-motor control to dynamics in financial markets, what has been subject of…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
In a recent paper [1] we introduced the Fuzzy Bayesian Learning (FBL) paradigm where expert opinions can be encoded in the form of fuzzy rule bases and the hyper-parameters of the fuzzy sets can be learned from data using a Bayesian…
We introduce a general theory of epistemic random fuzzy sets for reasoning with fuzzy or crisp evidence. This framework generalizes both the Dempster-Shafer theory of belief functions, and possibility theory. Independent epistemic random…
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number $A$. In this paper we formulate a coinsurance problem in the possibilistic…
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government…