Related papers: Time consistency for scalar multivariate risk meas…
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…
In this work we present a model for the solution of the multi-period portfolio selection problem. The model is based on a time consistent dynamic risk measure. We apply l1-regularization to stabilize the solution process and to obtain…
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference…
Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various…
We present the unified market-based description of returns and variances of the trades with shares of a particular security, of the trades with shares of all securities in the market, and of the trades with the market portfolio. We consider…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply…
In this paper, we seek to understand the behavior of dynamical systems that are perturbed by a parameter that changes discretely in time. If we impose certain conditions, we can study certain embedded systems within a hybrid system as…
This paper discusses the multiscale approach and the convergence of the time-dependent Maxwell-Schr\"{o}dinger system with rapidly oscillating discontinuous coefficients arising from the modeling of a heterogeneous nanostructure with a…
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
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…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
We introduce a class of continuous-time bivariate phase-type distributions for modeling dependencies from common shocks. The construction uses continuous-time Markov processes that evolve identically until an internal common-shock event,…
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 this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high…
In the analysis of square contingency tables with ordered categories, it is essential to assess deviations from marginal homogeneity (MH) when marginal equivalency between row and column variables does not hold. Some measures for evaluating…
Repeated measures of biomarkers have the potential of explaining hazards of survival outcomes. In practice, these measurements are intermittently measured and are known to be subject to substantial measurement error. Joint modelling of…
Slope movements (e.g. landslides) are dynamic systems that are complex in time and space and closely linked to both inherited and current preparatory and triggering controls. It is not yet possible to assess in all cases conditions for…