Related papers: On return rate implied by behavioural present valu…

The starting point of this paper is the introduction of a new measure of inclusion of fuzzy set A in fuzzy set B. Previously used inclusion measures take values in the interval [0,1]; the inclusion measure proposed here takes values in a…

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of…

This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…

The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…

Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…

We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…

Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitative question inherent to the investment process which we aim…

Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure…

New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…

In the prospect theory, value function is typically concave for gains, commonly convex for losses, with losses usually having a steeper slope than gains. The neural system largely differs from the loss and gains sides. Five new studies on…

Adaptive behavior in volatile environments requires agents to switch among value-control regimes across latent contexts, but maintaining separate preferences, policy biases, and action-confidence parameters for every situation is…

Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…

In this paper, we propose methods of handling attributive values of object classes in object oriented database with fuzzy information and uncertainty based on quantitatively semantics based hedge algebraic. In this approach we consider to…

Vagueness is a linguistic phenomenon as well as a property of physical objects. Fuzzy set theory is a mathematical model of vagueness that has been used to define vague models of computation. The prominent model of vague computation is the…

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…

We present a computational method for measuring financial risk by estimating the Value at Risk and Expected Shortfall from financial series. We have made two assumptions: First, that the predictive distributions of the values of an asset…

A decision maker starts from a judgmental decision and moves to the closest boundary of the confidence interval. This statistical decision rule is admissible and does not perform worse than the judgmental decision with a probability equal…

In competitive industries, a reliable yield forecasting is a prime factor to accurately determine the production costs and therefore ensure profitability. Indeed, quantifying the risks long before the effective manufacturing process enables…

Relational representation of knowledge makes it possible to perform all the computations and decision making in a uniform relational way by means of special relational compositions called triangle and square products. In this paper some…