Related papers: Risk Forms: Representation, Disintegration, and Ap…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
In the present paper a new concept of representability is introduced, which can be applied to not total and also to intransitive relations (semiorders in particular). This idea tries to represent the orderings in the simplest manner,…
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the num\'{e}raire portfolio. According to the…
This paper is an extended version of an earlier submission to WoLLIC 2023. We discuss two-layered logics formalising reasoning with probabilities and belief functions that combine the Lukasiewicz $[0,1]$-valued logic with Baaz $\triangle$…
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can…
In this paper, we describe a representation for spatial information, called the stochastic map, and associated procedures for building it, reading information from it, and revising it incrementally as new information is obtained. The map…
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that…
This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation…
Mathematical programming formulations of influence diagrams can bridge the gap between representing and solving decision problems. However, they suffer from both modeling and computational limitations. Aiming to address modeling…
Conditional independence (CI) is central to causal inference, feature selection, and graphical modeling, yet it is untestable in many settings without additional assumptions. Existing CI tests often rely on restrictive structural…
We construct a complex of differential forms on a local $C^\infty$-ringed space. The two main classes of spaces we have in mind are differential spaces in the sense of Sikorski and $C^\infty$-schemes. Just as in the case of manifolds the…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
Plausibility models are Kripke models that agents use to reason about knowledge and belief, both of themselves and of each other. Such models are used to interpret the notions of conditional belief, degrees of belief, and safe belief. The…
The semiring of discrete dynamical systems is a simple algebraic model for modularity in deterministic systems. The objects of the semiring are finite transformations (viewed as directed graphs and regarded up to isomorphism), the sum of…
We present a framework to formally describe probabilistic system behavior and symbolically reason about it. In particular we aim at reasoning about possible failures and fault tolerance. We regard systems which are composed of different…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
In the present paper we propose a new approach on `distributed systems': the processes are represented through total orders and the communications are characterized by means of biorders. The resulting distributed systems capture situations…
We present a formalism to describe slowly decaying systems in the context of finite Markov chains obeying detailed balance. We show that phase space can be partitioned into approximately decoupled regions, in which one may introduce…
The class of dual $\phi$-divergence estimators (introduced in Broniatowski and Keziou (2009) is explored with respect to robustness through the influence function approach. For scale and location models, this class is investigated in terms…
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is…