Related papers: Star-shaped acceptability indexes
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes…
A new class of solutions for Einstein's field equations representing a static spherically symmetric anisotropic distribution of matter is obtained on the background of pseudo-spheroidal spacetime. We have prescribed the bounds of the model…
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case. One can find all kinds of special risk…
This paper presents a unified approach based on Wasserstein distance to derive concentration bounds for empirical estimates for two broad classes of risk measures defined in the paper. The classes of risk measures introduced include as…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study…
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish existence results in the situation where the joint distribution…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
A recent work of the authors on the analysis of pairwise comparison matrices that can be made consistent by the modification of a few elements is continued and extended. Inconsistency indices are defined for indicating the overall quality…
In this paper we found a new model for compact star with anisotropic matter distribution considering the new version of Chaplygin fluid equation of state of Errehymy and Daoud (2021). We specify the particular form of the metric potential…
This is the second paper in our sequence. Here, we apply our abstract Morse index formulation developed in the previous paper to study several optimization set-ups with constraints, including type I or/and type II considerations. A common…
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…
For Markov processes with absorption, we provide general criteria ensuring the existence and the exponential non-uniform convergence in total variation norm to a quasi-stationary distribution. We also characterize a subset of its domain of…
Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance involving risk aversion. This paper investigates a wide…
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…
The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure…
We present model for anisotropic compact star under the general theory of relativity of Einstein. In the study a 4-dimensional spacetime has been considered which is embedded into the 5-dimensional flat metric so that the spherically…
In this manuscript, we investigate the behavior of stellar structure through embedding approach in $f(R, \phi, X)$ modified theory of gravity, where $R$ denotes the Ricci scalar, $\phi$ represents the scalar potential and $X$ indicates the…
We study the problem of estimating piecewise monotone vectors. This problem can be seen as a generalization of the isotonic regression that allows a small number of order-violating changepoints. We focus mainly on the performance of the…