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We consider a reference security, understood to be an attractive investment, with the caveat that an investor is not willing to directly invest in the security, for presence of constraints, either investor specific or pertaining to the…

We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…

Conformal risk control is an extension of conformal prediction for controlling risk functions beyond miscoverage. The original algorithm controls the expected value of a loss that is monotonic in a one-dimensional parameter. Here, we…

Some quantum measurements can not be performed simultaneously, i.e. they are incompatible. Here we show that every set of incompatible measurements provides an advantage over compatible ones in a suitably chosen quantum state discrimination…

The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. First, some results are provided on the dual representation of…

In many classification settings, the class of primary interest is underrepresented, leading to imbalanced data problems that arise in applications such as rare disease detection and fraud identification. In these contexts, identifying a…

We study submodularity for law-invariant functionals, with particular attention to convex risk measures. Expected losses are modular, and certainty equivalents are submodular exactly when the loss function is convex. Law-invariant coherent…

Measurement incompatibility stipulates the existence of quantum measurements that cannot be carried out simultaneously on single systems. We show that the set of input-output probabilities obtained from d-dimensional classical systems…

We study a space of coherent risk measures M_phi obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ``Risk Aversion Function'' phi naturally arises as the spectral representation of each risk…

Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…

We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…

This paper studies the identification, estimation, and hypothesis testing problem in complete and incomplete economic models with testable assumptions. Testable assumptions ($A$) give strong and interpretable empirical content to the models…

Retrieval-based systems approximate access to a corpus by exposing only a truncated subset of available evidence. Even when relevant information exists in the corpus, truncation can prevent compatible evidence from co-occurring, leading to…

What can one do with a given tunable quantum device? We provide complete symmetry criteria deciding whether some effective target interaction(s) can be simulated by a set of given interactions. Symmetries lead to a better understanding of…

We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…

We investigate the parameterized computational complexity of the satisfiability problem for modal logic and attempt to pinpoint relevant structural parameters which cause the problem's combinatorial explosion, beyond the number of…

We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…