Related papers: NPV, IRR, PI, PP, and DPP: a unified view
An investor is estimating net present value of a firm project and performs risk analysis. Usually it is created portfolio hierarchies and make comparison of variants of project based on these hierarchies. Then one finds that portfolio which…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish…
The purpose of the study is to propose a methodology for evaluation and ranking of risky investment projects.An investment certainty equivalence approach dual to the conventional separation of riskless and risky contributions based on cash…
The impact investment market has an estimated value of almost $1.6 trillion. Significant progress has been made in determining the financial returns of impact investing. Investors are still, however, in the early stages of determining…
The continuous net reclassification improvement (NRI) statistic is a popular model change measure that was developed to assess the incremental value of new factors in a risk prediction model. Two prominent statistical issues identified in…
Designing dynamic portfolio insurance strategies under market conditions switching between two or more regimes is a challenging task in financial economics. Recently, a promising approach employing the value-at-risk (VaR) measure to assign…
In this paper, we study a bi-criterion framework for assessing scoring functions in the context of binary classification. The positive and negative predictive values (ppv and npv, respectively) are conditional probabilities of the true…
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook…
User behavior records serve as the foundation for recommender systems. While the behavior data exhibits ease of acquisition, it often suffers from varying quality. Current methods employ data valuation to discern high-quality data from…
Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with bounded risk" (NUPBR) in one-dimensional general diffusion…
This paper investigates recursive feasibility, recursive robust stability and near-optimality properties of policy iteration (PI). For this purpose, we consider deterministic nonlinear discrete-time systems whose inputs are generated by PI…
Traditional technical analysis indicators, although widely used by market participants, are often not sufficiently effective. We propose the Visibility Graphs Relative Strength Index (VGRSI), based on backward visibility relations in the…
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator…
In recent years, the Marginal Value of Public Funds (MVPF) has become a popular tool for conducting cost-benefit analysis; the MVPF relies on the ratio of willingness-to-pay for a policy divided by its net fiscal cost. The MVPF gives…
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is however not perfect and the gap risk must…
The geology of oil reservoirs is largely unknown. Consequently, the reservoir models used for production optimization are subject to significant uncertainty. To minimize the associated risk, the oil literature has mainly used ensemble-based…
The classical risk-neutral newsvendor problem is to decide the order quantity that maximises the expected profit. Some recent works have proposed an alternative model, in which the goal is to minimise the conditional value-at-risk (CVaR), a…
In this study, we identify the relative standard deviation volatility (RSD volatility) in the individual target time fulfilment of the complete set of comparables (e.g., all individuals in the same organisational structure) as a possible…