Related papers: Diversification quotients: Quantifying diversifica…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spectral risk measure and the Value-at-Risk in the mean-variance…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
We establish a profound connection between coherent risk measures, a prominent object in quantitative finance, and uniform integrability, a fundamental concept in probability theory. Instead of working with absolute values of random…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
Predicting cross-sectional stock returns is challenging due to low signal-to-noise ratios and evolving market regimes. Classical factor models offer interpretability but limited flexibility, while deep learning models achieve strong…
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…
The mean-variance portfolio that considers the trade-off between expected return and risk has been widely used in the problem of asset allocation for multi-asset portfolios. However, since it is difficult to estimate the expected return and…
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived…
We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: the first, which we largely focus on, features a…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Concept drift refers to changes in the distribution of underlying data and is an inherent property of evolving data streams. Ensemble learning, with dynamic classifiers, has proved to be an efficient method of handling concept drift.…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…
Most theories of evolutionary diversification are based on equilibrium assumptions: they are either based on optimality arguments involving static fitness landscapes, or they assume that populations first evolve to an equilibrium state…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…
Pairwise comparisons are a well-known method for the representation of the subjective preferences of a decision maker. Evaluating their inconsistency has been a widely studied and discussed topic and several indices have been proposed in…
Pairwise comparison matrices often exhibit inconsistency, therefore many indices have been suggested to measure their deviation from a consistent matrix. A set of axioms has been proposed recently that is required to be satisfied by any…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are…