Related papers: Linear fractional relative risk aversion
We prove several results on the distribution of values of $L$-functions at the edge of the critical strip, by constructing and studying a large class of random Euler products. Among new applications, we study families of symmetric power…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend…
We determine rates of convergence of rank-based interacting diffusions and semimartingale reflecting Brownian motions to equilibrium. Convergence rate for the total variation metric is derived using Lyapunov functions. Sharp fluctuations of…
We apply a suitable modification of the functional delta method to statistical functionals that arise from law-invariant coherent risk measures. To this end we establish differentiability of the statistical functional in a relaxed Hadamard…
We introduce the notion of a risk-limiting financial auditing (RLFA): given $N$ transactions, the goal is to estimate the total misstated monetary fraction~($m^*$) to a given accuracy $\epsilon$, with confidence $1-\delta$. We do this by…
We introduce a new approximate multiresolution analysis (MRA) using a single Gaussian as the scaling function, which we call Gaussian MRA (GMRA). As an initial application, we employ this new tool to accurately and efficiently compute the…
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative…
In this paper, we propose a Network-Weighted Functional Regression (NWFR) model, an extension of Spatially Weighted Functional Regression (SWFR) to functional data defined on network-structured settings. To asses predictive uncertainity, we…
We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility (a variant of negative or positive "vega") and examine the link to nonlinear effects. We…
We consider arbitrary algebraic families of lower order deformations of nondegenerate toric exponential sums over a finite field. We construct a relative polytope with the aid of which we define a ring of coefficients consisting of p-adic…
This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation…
We study Pareto efficiency in a pure-exchange economy where agents' preferences are represented by risk-averse monetary utilities. These coincide with law-invariant monetary utilities, and they can be shown to correspond to the class of…
We obtain uniform lower bounds, true for all automorphic L-functions L(s) associated to cuspidal representations of GL(m,A) where A denotes the adeles of the rationals Q, of the integral on the vertical line (Re(s)=1/2) of the absolute…
A Wright function based framework is proposed to combine and extend several distribution families. The $\alpha$-stable distribution is generalized by adding the degree of freedom parameter. The PDF of this two-sided super distribution…
We consider fractional directional derivatives and establish some connection with stable densities. Solutions to advection equations involving fractional directional derivatives are presented and some properties investigated. In particular…
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in the existing literature. This paper builds on two novel…
Aalen's linear hazard rate regression model is a useful and increasingly popular alternative to Cox' multiplicative hazard rate model. It postulates that an individual has hazard rate function $h(s)=z_1\alpha_1(s)+\cdots+z_r\alpha_r(s)$ in…
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to…