Related papers: Star-shaped acceptability indexes
This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios. The study aims to go beyond traditional risk…
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents a theoretical utopia. Furthermore, significant risk…
In this work we analyse the role of low- and intermediate-mass stars in contributing to the chemical enrichment of the interstellar medium. First we present new sets of stellar yields basing on the results of updated evolutionary…
Self-similarity of systems is very popular and intensively developing field during last decades. To this field belong so-called stable distributions and their generalization. In Klebanov and Sl\'amov\'a (2014) there was given an approach to…
A class of general relativistic solutions in isotropic spherical polar coordinates are discussed which describe compact stars in hydrostatic equilibrium. The stellar models obtained here are characterized by four parameters, namely,…
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richardson, Stanton and Whitelaw (2004), Rossello (2008),…
Admissible orders play a key role in ranking subintervals of the unit interval. In 2013, Bustince et al. proposed constructing such relations by means of admissible pairs of aggregation functions. The only significant example in the…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
In choice under risk, there is a standard notion of 'less risk-averse than', due to Yaari (1969). In the theory of comparative statics, the single-crossing property is satisfied by all weighted averages of a family of single-crossing…
This paper deals with three major types of convergence of probability measures on metric spaces: weak convergence, setwise converges, and convergence in the total variation. First, it describes and compares necessary and sufficient…
This paper considers the use for Value-at-Risk computations of the so-called Beta-Kotz distribution based on a general family of distributions including the classical Gaussian model. Actually, this work develops a new method for estimating…
This paper develops a design-first econometric framework for event-study and difference-in-differences estimands under staggered adoption with heterogeneous effects, emphasising (i) exact probability limits for conventional two-way fixed…
Various financial market scenarios may cause heterogeneous risk assessments among analysts, which motivates the usage of the Generalized Risk Measure in Fadina et al. (2024, Finance and Stochastics). Effectively synthesizing these diverse…
We study Krasnoselskii-Mann style iterative algorithms for approximating fixpoints of asymptotically weakly contractive mappings, with a focus on providing generalised convergence proofs along with explicit rates of convergence. More…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
Online controlled experiments are a crucial tool to allow for confident decision-making in technology companies. A North Star metric is defined (such as long-term revenue or user retention), and system variants that statistically…
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-case risk (WR) approach, the MA approach produces not only a…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
The underlying idea behind the construction of indices of economic inequality is based on measuring deviations of various portions of low incomes from certain references or benchmarks, that could be point measures like population mean or…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…