Related papers: Acceptability Indices of Performance for Bounded C…
The purpose of this paper is to utilize statistical methodologies to infer from market prices of assets and their derivatives the magnitude of the set of a measure M that defines acceptance sets of risky future cash flows. Specifically, we…
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio,…
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We…
Process capability indices such as $C_{pk}$ are widely used in manufacturing quality control to support supplier qualification and product release decisions based on fixed acceptance thresholds (e.g., $C_{pk} \geq 1.33$). In practice, these…
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the corresponding portfolio optimization problem is well-posed…
Model predictive control is a control approach that minimizes a stage cost over a predicted system trajectory based on a model of the system and is capable of handling state and input constraints. For uncertain models, robust or adaptive…
The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem the acceptability maximization. First, we study the…
A parallel program can be represented as a directed acyclic graph. An important performance bound is the time to execute the critical path through the graph. We show how this performance metric is related to Amdahl speedup and the degree of…
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
Agentic systems are evaluated on benchmarks where agents interact with environments to solve tasks. Most papers report a pass@1 score computed from a single run per task, assuming this gives a reliable performance estimate. We test this…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
For many financial applications, it is important to have reliable and tractable models for the behavior of assets and indexes, for example in risk evaluation. A successful approach is based on ARCH processes, which strike the right balance…
Based on the theory of c\`adl\`ag rough paths, we develop a pathwise approach to analyze stability and approximation properties of portfolios along individual price trajectories generated by standard models of financial markets. As a…
We present the conditional value-at-risk (CVaR) in the context of Markov chains and Markov decision processes with reachability and mean-payoff objectives. CVaR quantifies risk by means of the expectation of the worst p-quantile. As such it…
Science and technology have a growing need for effective mechanisms that ensure reliable, controlled performance from black-box machine learning algorithms. These performance guarantees should ideally hold conditionally on the input-that is…
The paper is aware of the importance of certain figures that are essential to an understanding of Credit Scoring models in credit acceptance process optimization, namely if the power of discrimination measured by Gini value is increased by…
This paper presents a comprehensive review of univariate process capability indices (PCIs), which are critical metrics for assessing how effectively a manufacturing process satisfies customer specifications based on a single quality…
We propose the concept of adaptable processes as a way of overcoming the limitations that process calculi have for describing patterns of dynamic process evolution. Such patterns rely on direct ways of controlling the behavior and location…
Process Reward Models (PRMs) provide step-level feedback for reasoning, but current PRMs usually output only a single reward score for each step. Downstream methods must therefore treat imperfect step-level reward predictions as reliable…