Related papers: What is the Sharpe Ratio, and how can everyone get…
The F-measure or F-score is one of the most commonly used single number measures in Information Retrieval, Natural Language Processing and Machine Learning, but it is based on a mistake, and the flawed assumptions render it unsuitable for…
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily…
The widely used quantum Cramer-Rao bound (QCRB) sets a lower bound for the mean square error of unbiased estimators in quantum parameter estimation, however, in general QCRB is only tight in the asymptotical limit. With a limited number of…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
Financial market risk forecasting involves applying mathematical models, historical data analysis and statistical methods to estimate the impact of future market movements on investments. This process is crucial for investors to develop…
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater than a convex linear combination with…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe…
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…
Generalised dichotomic quantum measurements are fully characterised by two real parameters, dubbed as sharpness parameter and biasedness parameter. The trade-off between the degree of joint measurability, sharpness and biasedness of…
Like it or not, attempts to evaluate and monitor the quality of academic research have become increasingly prevalent worldwide. Performance reviews range from at the level of individuals, through research groups and departments, to entire…
A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one…
The Heuristic Ratio Estimation (HRE) approach proposes a new way of using the pairwise comparisons matrix. It allows the assumption that the weights of some alternatives (herein referred to as concepts) are known and fixed, hence the weight…
We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal…
Hazard ratios are often used to evaluate time to event outcomes, but they may be hard to interpret. A particular issue arise because hazards are typically estimated conditional on survival, i.e.\ on left truncated samples. Then, hazard…
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds…
Beta is a widely used quantity in investment analysis. We review the common interpretations that are applied to beta in finance and show that the standard method of estimation - least squares regression - is inconsistent with these…
Three statistical studies, all published between 2004 and 2008 but without referring to one another, assert a useful equivalence involving the hazard ratio, a parameter estimated for time to event data by the frequently used proportional…
The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the It\^o-Wentzell and Clark-Ocone formulae, and we apply it to…