Related papers: On return rate implied by behavioural present valu…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
We study expert advice under reputational incentives, with sell-side equity research as the lead application. A long-lived analyst receives a continuous private signal about a binary payoff and recommends a risky (Buy) or safe action.…
Using the concept of fuzzy field, we have considered the fuzzy field of real and complex numbers and thereafter we have established a few standard results of real and complex numbers with respect to a membership function.
Modeling fuzziness and imprecision in human rating data is a crucial problem in many research areas, including applied statistics, behavioral, social, and health sciences. Because of the interplay between cognitive, affective, and…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is…
When predictions support decisions they may influence the outcome they aim to predict. We call such predictions performative; the prediction influences the target. Performativity is a well-studied phenomenon in policy-making that has so far…
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acceptance set is breached. We develop the corresponding…
An artificial agent for financial risk and returns' prediction is built with a modular cognitive system comprised of interconnected recurrent neural networks, such that the agent learns to predict the financial returns, and learns to…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
The measure of distance between two fuzzy sets is a fundamental tool within fuzzy set theory, however, distance measures currently within the literature use a crisp value to represent the distance between fuzzy sets. A real valued distance…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
In the hypothesis of rare loss events, the general expression of the policy value has been determined as a functional of the "expected frequency / loss severity" function and of the retention function. Exponential disutility has been chosen…
The increasing rise in artificial intelligence has made the use of imprecise language in computer programs like ChatGPT more prominent. Fuzzy logic addresses this form of imprecise language by introducing the concept of fuzzy sets, where…
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under…
A new approach for uncertainty management for fuzzy, rule based decision support systems is proposed: The domain expert's knowledge is expressed by a set of rules that frequently refer to vague and uncertain propositions. The certainty of…
I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…