Related papers: Mitigating Extremal Risks: A Network-Based Portfol…
We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…
We introduce a novel framework for computing optimal randomized security policies in networked domains which extends previous approaches in several ways. First, we extend previous linear programming techniques for Stackelberg security games…
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…
Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…
Solving portfolio management problems using deep reinforcement learning has been getting much attention in finance for a few years. We have proposed a new method using experts signals and historical price data to feed into our reinforcement…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the…
When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form ${\mathbf{z}\in\mathbb{R}^d:f(\mathbf{z})\leq\beta}$, where f is…
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…
Data-driven anomaly detection methods typically build a model for the normal behavior of the target system, and score each data instance with respect to this model. A threshold is invariably needed to identify data instances with high (or…
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following a recently proposed bootstrap-based testing procedure, we…
Energy markets are strategic to governments and economic development. Several commodities compete as substitutable energy sources and energy diversifiers. Such competition reduces the energy vulnerability of countries as well as portfolios'…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constrains including expected returns. We propose a portfolio…
Neural networks allow us to model complex relationships between variables. We show how to efficiently find extrema of a trained neural network in regression problems. Finding the extremizing input of an approximated model is formulated as…
Diversity schemes play a vital role in improving the performance of ultra-reliable communication systems by transmitting over two or more communication channels to combat fading and co-channel interference. Determining an appropriate…
Finding a maximum independent set is a fundamental NP-hard problem that is used in many real-world applications. Given an unweighted graph, this problem asks for a maximum cardinality set of pairwise non-adjacent vertices. Some of the most…
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution…
Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…
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…