Related papers: Possibilistic investment models with background ri…
Using the concept of fuzzy field, we have considered the fuzzy field of real and complex numbers and thereafter we have established a few standard results of real and complex numbers with respect to a membership function.
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…
In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
We briefly review the connection between the fuzzy field theories and matrix models and describe the main features of the models that appear. We summarize the different approaches to their analysis, some of the recent results and the…
The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the possible models, and a measure of the distance between a…
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived…
The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…
We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 2003. The model by its nature can include fixed income securities as well in the portfolio. Under…
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research problem. In particular, it presents an additional optimisation…
We study the problem of explaining observations about the probabilities of events, such as "it rains $20\%$ of the time", "rain and snow are equally likely", etc. We explain these statements with a probability distribution or a statement…
Transportation Problem is an important problem which has been widely studied in Operations Research domain. It has been often used to simulate different real life problems. In particular, application of this Problem in NP Hard Problems has…
Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk,…
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…
In this article, a Hybrid Fuzzy Regression Model with Asymmetric Triangular Fuzzy Coefficients and optimized $h-$value in Generalized Linear Models (GLM) framework have been developed. The weighted functions of Fuzzy Numbers rather than the…
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…
This article is meant to give a lucid and widely accessible, self-contained account of a novel way of performing arithmetic operations on fuzzy intervals. Based on two formulae of generalized inversion (the first in close analogy to the…