Related papers: Dual Moments and Risk Attitudes
In model checking for regressions, nonparametric estimation-based tests usually have tractable limiting null distributions and are sensitive to oscillating alternative models, but suffer from the curse of dimensionality. In contrast,…
Many economic and causal parameters depend on nonparametric or high dimensional first steps. We give a general construction of locally robust/orthogonal moment functions for GMM, where moment conditions have zero derivative with respect to…
A Bayesian method of moments/instrumental variable (BMOM/IV) approach is developed and applied in the analysis of the important mean and multiple regression models. Given a single set of data, it is shown how to obtain posterior and…
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
The moments of random variables are fundamental statistical measures for characterizing the shape of a probability distribution, encompassing metrics such as mean, variance, skewness, and kurtosis. Additionally, the product moments,…
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…
We introduce a class of stochastic volatility models $(X_t)_{t \geq 0}$ for which the absolute moments of the increments exhibit anomalous scaling: $\E\left(|X_{t+h} - X_t|^q \right)$ scales as $h^{q/2}$ for $q < q^*$, but as $h^{A(q)}$…
This note uses a simple example to show how moment inequality models used in the empirical economics literature lead to general minimax relative efficiency comparisons. The main point is that such models involve inference on a low…
One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Aumann and Serrano (2008) show that only one index defined for…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
We gain robustness on the quantification of a risk measurement by accounting for all sources of uncertainties tainting the inputs of a computer code. We evaluate the maximum quantile over a class of distributions defined only by constraints…
The log-rank test and the Cox proportional hazards model are commonly used to compare time-to-event data in clinical trials, as they are most powerful under proportional hazards. But there is a loss of power if this assumption is violated,…
A decision maker starts from a judgmental decision and moves to the closest boundary of the confidence interval. This statistical decision rule is admissible and does not perform worse than the judgmental decision with a probability equal…
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…
This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confidence sets for parameters are level sets of criterion functions whose boundary points may depend…
This essay looks at decision-making with interval-valued probability measures. Existing decision methods have either supplemented expected utility methods with additional criteria of optimality, or have attempted to supplement the…
This paper proposes a new class of nonparametric tests for the correct specification of models based on conditional moment restrictions, paying particular attention to generalized propensity score models. The test procedure is based on two…
We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization…
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear…