Related papers: Star-shaped acceptability indexes
This paper considers both the least squares and quasi-maximum likelihood estimation for the recently proposed scalable ARMA model, a parametric infinite-order vector AR model, and their asymptotic normality is also established. It makes…
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and…
We consider quasi-admissibility/inadmissibility of Stein-type shrinkage estimators of the mean of a multivariate normal distribution with covariance matrix an unknown multiple of the identity. Quasi-admissibility/inadmissibility is defined…
In economics, risk aversion is modeled via a concave Bernoulli utility within the expected-utility paradigm. We propose a simple test of expected utility and concavity. We find little support for either: only 30 percent of the choices are…
We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics and industry professionals. The current…
Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable…
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the…
A one-to-one correspondence is drawn between law invariant risk measures and divergences, which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties. Divergences…
We study the structure of relativistic stars in $\mathcal{R}+\alpha \mathcal{R}^{2}$ theory using the method of matched asymptotic expansion to handle the higher order derivatives in field equations arising from the higher order curvature…
In this article, we consider models for time-to-event data obtained from experiments in which stress levels are altered at intermediate stages during the observation period. These experiments, known as step-stress tests, belong to the…
Astronomers generally assume planet-forming disks are aligned with the rotation of their host star. However, recent observations have shown evidence of warping in protoplanetary disks. One can measure the statistical alignment between the…
We characterize the reachability probabilities in stochastic directed graphs by means of reinforcement learning methods. In particular, we show that the dynamics of the transition probabilities in a stochastic digraph can be modeled via a…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
Over the last century, risk scores have been the most popular form of predictive model used in healthcare and criminal justice. Risk scores are sparse linear models with integer coefficients; often these models can be memorized or placed on…
The purpose of the study is to propose a methodology for evaluation and ranking of risky investment projects.An investment certainty equivalence approach dual to the conventional separation of riskless and risky contributions based on cash…
This thesis presents the Conditional Value-at-Risk concept and combines an analysis that covers its application as a risk measure and as a vector norm. For both areas of application the theory is revised in detail and examples are given to…
Elliptically contoured distributions generalize the multivariate normal distributions in such a way that the density generators need not be exponential. However, as the name suggests, elliptically contoured distributions remain to be…
We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement…
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be…