Related papers: Good deal bounds with convex constraints
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex…
Error bounds are central objects in optimization theory and its applications. They were for a long time restricted only to the theory before becoming over the course of time a field of itself. This paper is devoted to the study of error…
We use convex relaxation techniques to produce lower bounds on the optimal value of subset selection problems and generate good approximate solutions. We then explicitly bound the quality of these relaxations by studying the approximation…
Price of anarchy, the performance ratio, which could characterize the loss of efficiency of the distributed supply chain management compared with the integrated supply chain management is discussed by utilizing newsvendor problem in single…
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time…
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…
We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous and represented by nonadditive measures…
Finite-sum optimization plays an important role in the area of machine learning, and hence has triggered a surge of interest in recent years. To address this optimization problem, various randomized incremental gradient methods have been…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
The Shapley-Folkman theorem shows that Minkowski averages of uniformly bounded sets tend to be convex when the number of terms in the sum becomes much larger than the ambient dimension. In optimization, Aubin and Ekeland [1976] show that…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
This paper deals with some geometrical properties of solutions of some semilinear elliptic equations in bounded convex domains or convex rings. Constant boundary conditions are imposed on the single component of the boundary when the domain…
In the classical many normal means with different variances, we consider the situation when the observer is allowed to allocate the available measurement budget over the coordinates of the parameter of interest. The benchmark is the minimax…