Related papers: Star-Shaped deviations
Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…
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 risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
In the first part of the paper, we consider a discrete-time stochastic control system. We show that, under certain conditions, the set of random occupational measures generated by the state-control trajectories of the system as well as the…
We review a range of stastistical methods for analyzing the structures of star clusters, and derive a new measure ${\cal Q}$ which both quantifies, and distinguishes between, a (relatively smooth) large-scale radial density gradient and…
Numerous stars exhibit surprisingly large variations in their refractory element abundances, often interpreted as signatures of planetary ingestion events. In this study, we propose that differences in the dust-to-gas ratio near stars…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(\rho(\lambda X))_{\lambda \ge 0}$,…
In this paper we discuss various connections between geometric discrepancy measures, such as discrepancy with respect to convex sets (and convex sets with smooth boundary in particular), and applications to numerical analysis and…
It is known that each symmetric stable distribution in $R^d$ is related to a norm on $R^d$ that makes $R^d$ embeddable in $L_p([0,1])$. In case of a multivariate Cauchy distribution the unit ball in this norm corresponds is the polar set to…
Most of the work on checking spherical symmetry assumptions on the distribution of the $p$-dimensional random vector $Y$ has its focus on statistical tests for the null hypothesis of exact spherical symmetry. In this paper, we take a…
Elliptically contoured distributions can be considered to be the distributions for which the contours of the density functions are proportional ellipsoids. Kamiya, Takemura and Kuriki (2006) generalized the elliptically contoured…
We define the star transform as a generalization of the broken ray transform introduced by us in previous work. The advantages of using the star transform include the possibility to reconstruct the absorption and the scattering coefficients…
Simple spherical, non-rotating stellar models are inadequate when describing real stars in the limit of very fast rotation: Both the observable spectrum and the geometrical shape of the star deviate strongly from simple models. We attempt…
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…
The number of stellar angular diameter measurements has greatly increased over the past few years due to innovations and developments in the field of long baseline optical interferometry (LBOI). We use a collection of high-precision angular…
In financial and actuarial research, distortion and Haezendonck-Goovaerts risk measures are attractive due to their strong properties. They have so far been treated separately. In this paper, following a suggestion by Goovaerts, Linders,…
We establish properties of a new type of fractal which has partial self similarity at all scales. For any collection of iterated functions systems with an associated probability distribution and any positive integer V there is a…