Related papers: Dual Moments and Risk Attitudes
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
Restricting the variance of a policy's return is a popular choice in risk-averse Reinforcement Learning (RL) due to its clear mathematical definition and easy interpretability. Traditional methods directly restrict the total return…
The classic integrated conditional moment test is a promising method for testing regression model misspecification. However, it severely suffers from the curse of dimensionality. To extend it to handle the testing problem for parametric…
This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the…
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…
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Constructing confidence intervals that are simultaneously valid across a class of estimates is central to tasks such as multiple mean estimation, generalization guarantees, and adaptive experimental design. We frame this as an ``error…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into account not only the amounts but also the…
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled in the constraints. This problem is of interest when it is…
Descriptive statistics for parametric models are currently highly sensative to departures, gross errors, and/or random errors. Here, leveraging the structures of parametric distributions and their central moment kernel distributions, a…
In certain applications involving the solution of a Bayesian inverse problem, it may not be possible or desirable to evaluate the full posterior, e.g. due to the high computational cost of doing so. This problem motivates the use of…
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be…
In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying…
In this paper we consider the problem of detecting a change in the parameters of an autoregressive process, where the moments of the innovation process do not necessarily exist. An empirical likelihood ratio test for the existence of a…
Mutual information is fundamentally important for measuring statistical dependence between variables and for quantifying information transfer by signaling and communication mechanisms. It can, however, be challenging to evaluate for…
This article proposes a new index for quantifying the degree of dependence between random vectors. The index takes values in [0,1] and equals zero if and only if the random vectors are sub-independent. Unlike mere uncorrelatedness,…
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…
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…