Related papers: Risk Aversion and Coherent Risk Measures: a Spectr…

In absence of a lens to form an image, incoherent or partially coherent light scattering off an obstructive or reflective object forms a broad intensity distribution in the far field with only feeble spatial features. We show here that…

We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…

The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…

This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk…

The operational characterization of quantum coherence is the corner stone in the development of resource theory of coherence. We introduce a new coherence quantifier based on max-relative entropy. We prove that max-relative entropy of…

Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…

An example of a coherent measurement for the direct evaluation of the degree of polarization of a single-mode optical beam is presented. It is applied to the case of great practical importance where depolarization is caused by polarization…

Quantifying coherence is an essential endeavour for both quantum foundations and quantum technologies. Here the robustness of coherence is defined and proven a full monotone in the context of the recently introduced resource theories of…

The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…

Coherence refers to correlations between field vibrations at two separate points in degrees of freedom such as space, time, and polarisation. In the context of space, coherence theory has been formulated between two transverse positions…

Quantum coherence characterizes the non-classical feature of a single party system with respect to a local basis. Based on a recently introduced resource framework, coherence can be regarded as a resource and be systematically manipulated…

We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences, we have to deal with multi-utility representations. We look for…

In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…

Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…

Measuring small separations between two optical sources, either in space or in time, constitute an important metrological challenge as standard intensity-only measurements fail for vanishing separations. Contrarily, it has been established…

Coherent control of wave transmission and reflection is crucial for applications in communication, imaging, and sensing. However, many practical scenarios involve partially coherent waves rather than fully coherent ones. We present a…

Confidence is a fundamental concept in statistics, but there is a tendency to misinterpret it as probability. In this paper, I argue that an intuitively and mathematically more appropriate interpretation of confidence is through…

Many scientific analyses require simultaneous comparison of multiple functionals of an unknown signal at once, calling for multidimensional confidence regions with guaranteed simultaneous frequentist under structural constraints (e.g.,…

When conducting inference on partially identified parameters, confidence regions may cover the whole identified set with a prescribed probability, to which we will refer as set coverage, or they may cover each of its point with a prescribed…

We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…