Related papers: Gain-Loss Hedging and Cumulative Prospect Theory
Cooperative game theory studies how to allocate the joint value generated by a set of players. These games are typically analyzed using the characteristic function form with transferable utility, which represents the value attainable by…
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
This paper makes a small step towards a non-stochastic version of superhedging duality relations in the case of one traded security with a continuous price path. Namely, we prove the coincidence of game-theoretic and measure-theoretic…
This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the notions of collective arbitrage and super-replication in a…
The connection between monotonicity formulas and the (S$_+$)-property is that, for some popular differential operators, the former is used to prove the latter. The purpose of this paper is to explore this connection, remark how in the past…
Many policy evaluations involve vectors of category-specific quantities, either categorical outcomes (e.g., employment type, major choice) or compositional measures (e.g., GDP by sector, votes by party, electricity generation by source). In…
The literature on judgment aggregation is moving from studying impossibility results regarding aggregation rules towards studying specific judgment aggregation rules. Here we give a structured list of most rules that have been proposed and…
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such…
A new two-parameter discrete distribution, namely the PoiG distribution is derived by the convolution of a Poisson variate and an independently distributed geometric random variable. This distribution generalizes both the Poisson and…
The notion of homomorphism indistinguishability offers a combinatorial framework for characterizing equivalence relations of graphs, in particular equivalences in counting logics within finite model theory. That is, for certain graph…
While a variety of ensemble methods for multilabel classification have been proposed in the literature, the question of how to aggregate the predictions of the individual members of the ensemble has received little attention so far. In this…
In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming the foundation for the classic theories of expected utility,…
Effectus theory is a new branch of categorical logic that aims to capture the essentials of quantum logic, with probabilistic and Boolean logic as special cases. Predicates in effectus theory are not subobjects having a Heyting algebra…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
Acquisition of data is a difficult task in many applications of machine learning, and it is only natural that one hopes and expects the population risk to decrease (better performance) monotonically with increasing data points. It turns…
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
We have carried out simulations of a financial model of the firm to analyse the validity of the concept of Trade on Equity in dynamics. The results exhibit the ability of the borrowing policy connected to a cautious dividend distribution to…
Anhomomorphic logic is a new interpretation of Quantum Theory (due to R. Sorkin). It is a histories formulation (c.f. consistent histories, quantum measure theory). In this approach, reality is a co-event, which is essentially an assignment…