Related papers: Possibilistic investment models with background ri…
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of…
In this paper, we define probabilistic measures for venture portfolio performance based on individual outlier probability for each investment and the dependence across investments. This work is inspired by loan portfolio modeling against…
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description of the structure and dynamics of correlations. From…
Fuzzy sets are the cornerstone of a non-additive uncertainty theory, namely possibility theory, and of a versatile tool for both linguistic and numerical modeling. Numerous works now combine fuzzy concepts with other scientific disciplines…
In several research areas, ratings data and response times have been successfully used to unfold the stage-wise process through which human raters provide their responses to questionnaires and social surveys. A limitation of the standard…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X…
In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "transfer risk", within the optimization framework of transfer…
Uncertainty often plays an important role in dynamic flow problems. In this paper, we consider both, a stationary and a dynamic flow model with uncertain boundary data on networks. We introduce two different ways how to compute the…
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…
This article is the first part of series of articles that aim to present the foundations for fuzzy variational calculus for functions taking values in the space of linearly correlated fuzzy numbers $\mathbb{R}_{\mathcal{F}(A)}$. Recall that…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
In three-way conflict analysis, preference-based conflict situations characterize agents' attitudes towards issues by formally modeling their preferences over pairs of issues. However, existing preference-based conflict models rely…
In this paper, as a first step in examining the properties of a feasible portfolio subset that is characterized by budget and risk constraints, we assess the maximum and minimum of the investment concentration using replica analysis. To do…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
This paper proposes a novel trading system which plays the role of an artificial counselor for stock investment. In this paper, the stock future prices (technical features) are predicted using Support Vector Regression. Thereafter, the…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
The problem of inferring the binomial parameter p from x successes obtained in n trials is reviewed and extended to take into account the presence of background, that can affect the data in two ways: a) fake successes are due to a…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
Modeling human ratings data subject to raters' decision uncertainty is an attractive problem in applied statistics. In view of the complex interplay between emotion and decision making in rating processes, final raters' choices seldom…