相关论文: Entropy and Uncertainty Analysis in Financial Mark…

In the presence of model risk, it is well-established to replace classical expected values by worst-case expectations over all models within a fixed radius from a given reference model. This is the "robustness" approach. We show that…

Evidence theory is that the extension of probability can better deal with unknowns and inaccurate information. Uncertainty measurement plays a vital role in both evidence theory and probability theory. Approximate Entropy (ApEn) is proposed…

The benefits of portfolio diversification is a central tenet implicit to modern financial theory and practice. Linked to diversification is the notion of breadth. Breadth is correctly thought of as the number of in- dependent bets available…

We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected…

The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…

This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…

This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the general market corroborated by individual security trade data.…

We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a…

Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…

We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity. The unique class of indices satisfying these…

Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets with mean-volatility uncertainty. Models for stock markets…

No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications. The strong…

We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…

Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…

Written language is complex. A written text can be considered an attempt to convey a meaningful message which ends up being constrained by language rules, context dependence and highly redundant in its use of resources. Despite all these…

A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…

Various notions of fluctuations exist depending on the way one chooses to measure them. We discuss two extreme cases (continuous measurement versus long inter-measurement times) and we see their relation with entropy production and with…

This paper presents the notion of a variation entropy. This concept is an entropy framework for the gradient of the solution of a conservation law instead of on the solution itself. It appears that all semi-norms are admissible variation…

We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes.…