Related papers: Diversification quotient based on expectiles
We extend the Annually Recalculated Virtual Annuity (ARVA) spending rule for retirement savings decumulation to include a cap and a floor on withdrawals. With a minimum withdrawal constraint, the ARVA strategy runs the risk of depleting the…
Approximate inference in high-dimensional, discrete probabilistic models is a central problem in computational statistics and machine learning. This paper describes discrete particle variational inference (DPVI), a new approach that…
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Differential equations are important tools to portray dynamic problems, and are widely used in finance, engineering and biology. Here, multiple dynamic differential models were built innovatively, and discretized with the Runge-Kutta…
We investigate the use of quantum computers for building a portfolio out of a universe of U.S. listed, liquid equities that contains an optimal set of stocks. Starting from historical market data, we look at various problem formulations on…
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This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{$\varphi$-Divergence Quadrangle}. This approach expands upon the traditional Risk Quadrangle, a model that quantifies…
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This paper proposes dynamic Bayesian regression quantile synthesis (DRQS), a novel method for quantile forecasting within the Bayesian predictive synthesis (BPS) framework designed to combine quantile-specific information from multiple…
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Portfolio diversification, traditionally measured through asset correlations and volatilitybased metrics, is fundamental to managing financial risk. However, existing diversification metrics often overlook non-numerical relationships…
We derive an unbiased estimator for expectations over discrete random variables based on sampling without replacement, which reduces variance as it avoids duplicate samples. We show that our estimator can be derived as the…
We reconsider the study of optimal dividend strategies in the Cram\'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the…
The Portfolio Optimization task has long been studied in the Financial Services literature as a procedure to identify the basket of assets that satisfy desired conditions on the expected return and the associated risk. A well-known approach…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
Fractional dissipation is a powerful tool to study non-local physical phenomena such as damping models. The design of geometric, in particular, variational integrators for the numerical simulation of such systems relies on a variational…
We propose several approaches for solving differential equations (DEs) with quantum kernel methods. We compose quantum models as weighted sums of kernel functions, where variables are encoded using feature maps and model derivatives are…