Related papers: QuPARA: Query-Driven Large-Scale Portfolio Aggrega…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…
The value-at-risk of a delta-gamma approximated derivatives portfolio can be computed by numerical integration of the characteristic function. However, while the choice of parameters in any numerical integration scheme is paramount, in…
Aggregating data is fundamental to data analytics, data exploration, and OLAP. Approximate query processing (AQP) techniques are often used to accelerate computation of aggregates using samples, for which confidence intervals (CIs) are…
Simulating many-body quantum systems is a promising task for quantum computers. However, the depth of most algorithms, such as product formulas, scales with the number of terms in the Hamiltonian, and can therefore be challenging to…
In this paper, a simulation-based method for the analysis and design of abstracted models for a stochastic hybrid system is proposed. The accuracy of a model is evaluated in terms of its capability to reproduce the system output for all the…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…
Security Information and Event Management (SIEM) systems are essential for large enterprises to monitor their IT infrastructure by ingesting and analyzing millions of logs and events daily. Security Operations Center (SOC) analysts are…
The application of LLM-based agents in financial investment has shown significant promise, yet existing approaches often require intermediate steps like predicting individual stock movements or rely on predefined, static workflows. These…
Considering the ever-evolving threat landscape and rapid changes in software development, we propose a risk assessment framework called SAFER (Software Analysis Framework for Evaluating Risk). This framework is based on the necessity of a…
Recurrence quantification analysis (RQA) is a widely used tool for studying complex dynamical systems, but its standard implementation requires computationally expensive calculations of recurrence plots (RPs) and line length histograms.…
Simulating a single trajectory of a dynamical system under some state-dependent policy is a core bottleneck in policy optimization (PO) algorithms. The many inherently serial policy evaluations that must be performed in a single simulation…
We present a quantum algorithm for portfolio optimization. We discuss the market data input, the processing of such data via quantum operations, and the output of financially relevant results. Given quantum access to the historical record…
Risk reporting is essential for documenting AI models, yet only 14% of model cards mention risks, out of which 96% copying content from a small set of cards, leading to a lack of actionable insights. Existing proposals for improving model…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…
Many effective Threat Analysis (TA) techniques exist that focus on analyzing threats to targeted assets (e.g., components, services). These techniques consider static interconnections among the assets. However, in dynamic environments, such…
This article is focused on using a new measurement of risk-- Weighted Value at Risk to develop a new method of constructing initiate from the TVAR solving problem, based on MATLAB software, using the historical simulation method (avoiding…
Quadratic multiple knapsack problem (QMKP) is a combinatorial optimisation problem characterised by multiple weight capacity constraints and a profit function that combines linear and quadratic profits. We study a stochastic variant of this…