Related papers: A Triptych Approach for Reverse Stress Testing of …
Supply chains' increasing globalization and complexity have recently produced unpredictable disruptions, ripple effects, and cascading resulting failures. Proposed practices for managing these concerns include the advanced field of forward…
As an important tool in financial risk management, stress testing aims to evaluate the stability of financial portfolios under some potential large shocks from extreme yet plausible scenarios of risk factors. The effectiveness of a stress…
Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aims to find an alternative but plausible model such that under…
Value at Risk (VaR) and stress testing are two of the most widely used approaches in portfolio risk management to estimate potential market value losses under adverse market moves. VaR quantifies potential loss in value over a specified…
Aspect Sentiment Triplet Extraction (ASTE) is the task of extracting triplets of aspect terms, their associated sentiments, and the opinion terms that provide evidence for the expressed sentiments. Previous approaches to ASTE usually…
This paper explores option portfolio optimization when the underlying returns are skew-elliptical t-distributed. We use the variance and value at risk (VaR) to measure portfolio risk. The novelty of our work is the departure from the…
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market…
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute the worst case average value at risk in the face of tail…
With the pervasiveness of Stochastic Shortest-Path (SSP) problems in high-risk industries, such as last-mile autonomous delivery and supply chain management, robust planning algorithms are crucial for ensuring successful task completion…
Portfolio optimization is one of the essential fields of focus in finance. There has been an increasing demand for novel computational methods in this area to compute portfolios with better returns and lower risks in recent years. We…
Simulated Tempering (ST) is an MCMC algorithm for complex target distributions that operates on a path between the target and a more amenable reference distribution. Crucially, if the reference enables i.i.d. sampling, ST is regenerative…
We show how one can actually take advantage of the strongly non-Gaussian nature of the fluctuations of financial assets to simplify the calculation of the Value-at-Risk of complex non linear portfolios. The resulting equations are not hard…
The key issue in importance sampling is the choice of the alternative sampling distribution, which is often chosen from the exponential tilt family of the underlying distribution. However, when the problem exhibits certain kind of…
This study proposes a regime-aware reinforcement learning framework for long-horizon portfolio optimization. Moving beyond traditional feedforward and GARCH-based models, we design realistic environments where agents dynamically reallocate…
This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…
We consider the problem of learning a control policy that is robust against the parameter mismatches between the training environment and testing environment. We formulate this as a distributionally robust reinforcement learning (DR-RL)…
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), formulate the corresponding optimization problem, and propose an…
Portfolio diversification, traditionally measured through asset correlations and volatilitybased metrics, is fundamental to managing financial risk. However, existing diversification metrics often overlook non-numerical relationships…