Related papers: Weak comonotonicity
Metric regularity is among the central concepts of nonlinear and variational analysis, constrained optimization, and their numerous applications. However, metric regularity can be elusive for some important ill-posed classes of problems…
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are…
This note discusses some of the aspects of a model for the covariance of equity returns based on a simple "isotropic" structure in which all pairwise correlations are taken to be the same value. The effect of the structure on feasible…
Weak convergence of inertial iterative method for solving variational inequalities is the focus of this paper. The cost function is assumed to be non-Lipschitz and monotone. We propose a projection-type method with inertial terms and give…
Monotone inclusions have a wide range of applications, including minimization, saddle-point, and equilibria problems. We introduce new stochastic algorithms, with or without variance reduction, to estimate a root of the expectation of…
We formalize a framework for coordinating funding and selecting projects, the costs of which are shared among agents with quasi-linear utility functions and individual budgets. Our model contains the classical discrete participatory…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…
It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that…
Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
(English) This monograph aims at presenting the core weak convergence theory for sequences of random vectors with values in $\mathbb{R}^k$. In some places, a more general formulation in metric spaces is provided. It lays out the necessary…
We study a non-concave optimization problem in which a financial company maximizes the expected utility of the surplus under a risk-based regulatory constraint. For this problem, we consider four different prevalent risk constraints…
We start by defining an approach to non-monotonic probabilistic reasoning in terms of non-monotonic categorical (true-false) reasoning. We identify a type of non-monotonic probabilistic reasoning, akin to default inheritance, that is…
This paper establishes a direct, robust and intimate connection between (i) non classicality tests for various quantum features, e.g., non-Boolean logic, quantum coherence, nonlocality, quantum entanglement, quantum discord; (ii) negative…
In this work, we propose a new existence result for quasi-equilibrium problems using generalized monotonicity in an infinite dimensional space. Also, we show that the notions of generalized monotonicity can be characterized in terms of…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk are captured by second moments. In modern financial markets,…