Related papers: Possibilistic investment models with background ri…
We propose a mathematical model for the word-of-mouth communications among stock investors through social networks and explore how the changes of the investors' social networks influence the stock price dynamics and vice versa. An investor…
Many mathematical models utilize limit processes. Continuous functions and the calculus, differential equations and topology, all are based on limits and continuity. However, when we perform measurements and computations, we can achieve…
In dealing with veracity of data analytics, fuzzy methods are more and more relying on probabilistic and statistical techniques to underpin their applicability. Conversely, standard statistical models usually disregard to take into account…
In competitive industries, a reliable yield forecasting is a prime factor to accurately determine the production costs and therefore ensure profitability. Indeed, quantifying the risks long before the effective manufacturing process enables…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
In this contribution we provide initial findings to the problem of modeling fuzzy rating responses in a psychometric modeling context. In particular, we study a probabilistic tree model with the aim of representing the stage-wise mechanisms…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful…
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government…
In this paper, I obtain an $S$-type fuzzy point when two fuzzy numbers for two independent variables and a corresponding fuzzy number for the dependent variable are given. A comprehensive study on a conceptualization of a fuzzy plane as a…
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the smile are examined. Special attention…
Examining the trend of the global economy shows that global trade is moving towards high-tech products. Given that these products generate very high added value, countries that can produce and export these products will have high growth in…
The treatment of both aleatory and epistemic uncertainty by recent methods often requires an high computational effort. In this abstract, we propose a numerical sampling method allowing to lighten the computational burden of treating the…
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
In this study, we consider a linear differential equation with fuzzy boundary values. We express the solution of the problem in terms of a fuzzy set of crisp real functions. Each real function from the solution set satisfies differential…