Related papers: Acceptable Bilateral Gamma Parameters
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…
Multi-agent trajectory forecasting in autonomous driving requires an agent to accurately anticipate the behaviors of the surrounding vehicles and pedestrians, for safe and reliable decision-making. Due to partial observability in these…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
The goal of machine learning is to find models that minimize prediction error on data that has not yet been seen. Its operational paradigm assumes access to a dataset $S$ and articulates a scheme for evaluating how well a given model…
I describe a method for estimating agents' perceived returns to investments that relies on cross-sectional data containing binary choices and prices, where prices may be imperfectly known to agents. This method identifies the scale of…
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect…
This article presents a pragmatic framework for making formal, utility-based decisions from statistical inferences. The method calculates an expected utility score for an intervention by combining Bayesian posterior probabilities of…
In this paper we derive sharp lower and upper bounds for the covariance of two bounded random variables when knowledge about their expected values, variances or both is available. When only the expected values are known, our result can be…
Recent decades have seen an interest in prediction problems for which Bayesian methodology has been used ubiquitously. Sampling from or approximating the posterior predictive distribution in a Bayesian model allows one to make inferential…
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash…
This paper presents a novel methodology for predicting international bilateral trade flows, emphasizing the growing importance of Preferential Trade Agreements (PTAs) in the global trade landscape. Acknowledging the limitations of…
A new concept of the available force is proposed to investigate the performance of the complex systems having long-range interactions. Since the covariance of average velocity in double time interval and available force equals zero, it is…
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international…
Undirected graphical models are widely used in statistics, physics and machine vision. However Bayesian parameter estimation for undirected models is extremely challenging, since evaluation of the posterior typically involves the…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
Strategyproof mechanisms provide robust equilibrium with minimal assumptions about knowledge and rationality but can be unachievable in combination with other desirable properties such as budget-balance, stability against deviations by…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
By means of the techniques of Boolean valued analysis, we provide a transfer principle between duality theory of classical convex risk measures and duality theory of conditional risk measures. Namely, a conditional risk measure can be…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…