Related papers: On representing and hedging claims for coherent ri…
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $\mathcal{P}$-quasisure bounded random variables, where $\mathcal{P}$ is a (possibly non-dominated) class of probability…
We study the strict stability of calibrated cones with an isolated singularity. For special Lagrangian cones and coassociative cones, we prove the strict stability. In the complex case, we give non-strictly stable examples.
We establish a profound connection between coherent risk measures, a prominent object in quantitative finance, and uniform integrability, a fundamental concept in probability theory. Instead of working with absolute values of random…
We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV) preferences. We obtain the precommitted optimal strategies…
In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a promising method due to today's unstable financial market…
We show how to compose robust stability tests for uncertain systems modeled as linear fractional representations and affected by various types of dynamic uncertainties. Our results are formulated in terms of linear matrix inequalities and…
We establish stability properties of weak solutions for systems of porous medium type with respect to the exponent $m$. Thereby we treat stability for the local case as well as for Cauchy-Dirichlet problems. Both degenerate and singular…
In this paper, we refine and generalize closed forms for worst-case law invariant convex risk measures with uncertainty sets based on: i) closed balls under $p$-norms and Wasserstein distance; and ii) moment constraints involving mean and…
We construct an increasing sequence of natural numbers $(m_n)_{n=1}^{+\infty}$ with the property that $(m_n \th [1])_{n\geq 1}$ is dense in $\T$ for any $\th \in \R\setminus \Q$, and a continuous measure on the circle $\mu$ such that…
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…
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
This paper studies the problem of safe stabilization of control-affine systems under uncertainty. Our starting point is the availability of worst-case or probabilistic error descriptions for the dynamics and a control barrier function…
We give a version of the Riesz-Haviland theorem for truncated moments problems, characterizing the existence of the representing measures that are absolutely continuous with respect to the Lebesgue measure. The existence of such…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
We study stability of solitary wave solutions for the fractional generalized Korteweg-de Vries equation $$ \partial_t u- \partial_{x_1} D^{\alpha}u+ \tfrac{1}{m}\partial_{x_1}(u^m)=0, ~ (x_1,\dots,x_d)\in \mathbb{R}^d, \, \, t\in…
We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in…
Using uniform global Carleman estimates for discrete elliptic and semi-discrete hyperbolic equations, we study Lipschitz and logarithmic stability for the inverse problem of recovering a potential in a semi-discrete wave equation,…
We introduce a notion of \emph{efficient stability} for finite presentations of groups. Informally, a finite presentation using generators $S$ and relations $R$ is \emph{stable} if any map from $S$ to unitaries that approximately satisfies…
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dynamic programming approach fails. We…