Related papers: Extreme Measures in Continuous Time Conic Finace

We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a c\`adl\`ag nonlinear…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

In public discussions of the quality of forecasts, attention typically focuses on the predictive performance in cases of extreme events. However, the restriction of conventional forecast evaluation methods to subsets of extreme observations…

We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from…

We characterize the extreme points of the set of incentive-compatible mechanisms for screening problems with linear utility. Our framework subsumes problems with and without transfers, such as monopoly pricing, principal-optimal bilateral…

In the multivariate setting, estimates of extremal risk measures are important in many contexts, such as environmental planning and structural engineering. In this paper, we propose new estimation methods for extremal bivariate return…

Real-time probability forecasts for binary outcomes are routine in sports, online experimentation, medicine, and finance. Retrospective narratives, however, often hinge on pathwise extremes: for example, a forecast that becomes "90%…

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…

Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of…

We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…

In this work, we consider the periodic impulse control of a system modeled as a set of linear differential equations. We define a matrix that governs the qualitative behavior of the controlled system. This matrix depends on the period and…

We consider a class of doubly intermittent maps with critical points, unbounded derivative and regularly varying tails. Under some mild assumptions we prove the existence of a unique mixing absolutely continuous invariant measure and give…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

Imagine that measurements are made at times $t_0$ and $t_1$ of the trajectory of a physical system whose governing laws are given approximately by a class ${\cal A}$ of so-called {\em prior vector fields}. Because the physical laws are not…

It is well known that open dynamical systems can admit an uncountable number of (absolutely continuous) conditionally invariant measures (ACCIMs) for each prescribed escape rate. We propose and illustrate a convex optimisation based…

The study of Fourier transforms of probability measures on fractal sets plays an important role in recent research. Faster decay rates are known to yield enhanced results in areas such as metric number theory. This paper focuses on…

We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical process theory is a very powerful tool, both for the asymptotic…

This paper introduces a dynamic change of measure approach for computing the analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid…

Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…

The problem of exactly differentiating a signal with bounded second derivative is considered. A class of differentiators is proposed, which converge to the derivative of such a signal within a fixed, i.e., a finite and uniformly bounded…