Related papers: Risk concentration under second order regular vari…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…
Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone mappings, called the generalized rank-dependent functions,…
We study the closure properties of the class of Bivariate Regular Variation, symbolically BRV , in standard and nonstandard cases, with respect to the randomly weighted sums. However, we take into consideration a weak dependence structure…
In this manuscript, we study stochastic comparisons of the second-order statistics from dependent or independent observations with modified proportional hazard rates models. First, we establish the usual stochastic order of the second-order…
One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
We provide a unified analysis of the predictive risk of ridge regression and regularized discriminant analysis in a dense random effects model. We work in a high-dimensional asymptotic regime where $p, n \to \infty$ and $p/n \to \gamma \in…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
We investigate the high-dimensional properties of robust regression estimators in the presence of heavy-tailed contamination of both the covariates and response functions. In particular, we provide a sharp asymptotic characterisation of…
This article aims to combine factor investing and reinforcement learning (RL). The agent learns through sequential random allocations which rely on firms' characteristics. Using Dirichlet distributions as the driving policy, we derive…
We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility…
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…
In this paper we discuss the asymptotic behaviour of random contractions $X=RS$, where $R$, with distribution function $F$, is a positive random variable independent of $S\in (0,1)$. Random contractions appear naturally in insurance and…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(\rho(\lambda X))_{\lambda \ge 0}$,…
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 tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible…