Related papers: Dual Moments and Risk Attitudes
This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order…
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification proposed for these models in Adrian et al. (2013). We extend the…
Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at-risk is a common risk control instrument, but there are…
By adopting a distributional viewpoint on law-invariant convex risk measures, we construct dynamics risk measures (DRMs) at the distributional level. We then apply these DRMs to investigate Markov decision processes, incorporating latent…
In this paper, convergence for moments of powered normal extremes is considered under an optimal choice of normalizing constants. It is shown that the rates of convergence for normalized powered normal extremes depend on the power index.…
It is a relatively well-known fact that in problems of Bayesian model selection improper priors should, in general, be avoided. In this paper we derive a proper and parsimonious uniform prior for regression coefficients. We then use this…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a…
We introduce estimation and test procedures through divergence minimiza- tion for models satisfying linear constraints with unknown parameter. These procedures extend the empirical likelihood (EL) method and share common features with…
Recent studies have highlighted the significance of higher-order moments - such as coskewness - in portfolio optimization within the financial domain. This paper extends that focus to the field of actuarial science by examining the impact…
Harrel's concordance index is a commonly used discrimination metric for survival models, particularly for models where the relative ordering of the risk of individuals is time-independent, such as the proportional hazards model. There are…
Abstract In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen high enough to ensure an unbiased extreme value index but…
Time-to-event analysis often relies on prior parametric assumptions, or, if a non-parametric approach is chosen, Cox's model. This is inherently tied to the assumption of proportional hazards, with the analysis potentially invalidated if…
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for…
Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor behaviour during episodes of stock market panic. If we…
We propose an computational framework for real-time risk assessment and prioritizing for random outcomes without prior information on probability distributions. The basic model is built based on satisficing measure (SM) which yields a…
This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3…
In this article we develop a duality principle suitable for a large class of problems in optimization. The main result is obtained through basic tools of convex analysis and duality theory. We establish a correct relation between the…
Measures of inflation uncertainty and directional risk derived from higher moments of forecast distributions are contaminated by the first moment, but in distinct ways. Using individual density forecasts from the ECB Survey of Professional…