Related papers: Equilibrium with coherent risk
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
In this paper, we propose a new Fully Composite Formulation of convex optimization problems. It includes, as a particular case, the problems with functional constraints, max-type minimization problems, and problems of Composite…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete hedging dates and transaction costs. The proposed algorithms…
This paper investigates an infinite-horizon problems in the one-dimensional calculus of variations, arising from the Ramsey model of endogeneous economic growth. Following Chichilnisky, we introduce an additional term, which models concern…
Survival analysis deals with modeling the time until an event occurs, and accurate probability estimates are crucial for decision-making, particularly in the competing-risks setting where multiple events are possible. While recent work has…
Reliable, risk-averse design of complex engineering systems with optimized performance requires dealing with uncertainties. A conventional approach is to add safety margins to a design that was obtained from deterministic optimization.…
Quantum computing is becoming strategically relevant to finance because several core financial bottlenecks are already defined by combinatorial search, expectation estimation, rare-event analysis, representation learning, and long-horizon…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by It\^o-L\'evy processes, but it also contains some new results on the underlying stochastic maximum…
This paper considers games where the utilities for agents are the sum of a term proportional to a social utility, and another term that is an individual cost or reward. The agents are assumed to be irrational in their perception of the…
The aim of these lectures at MITACS-PIMS-UBC Summer School in Risk Man- agement and Risk Sharing is to discuss risk controlled approaches for the pricing and hedging of financial risks. We will start with the classical dual approach for…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and…
In this work, we state a general conjecture on the solvability of optimization problems via algorithms with linear convergence guarantees. We make a first step towards examining its correctness by fully characterizing the problems that are…
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…