相关论文: Convex risk measures for good deal bounds

Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are…

We consider a one-period market model composed by a risk-free asset and a risky asset with $n$ possible future values (namely, a $n$-nomial market model). We characterize the lower envelope of the class of equivalent martingale measures in…

We provide equivalence of numerous no-free-lunch type conditions for financial markets where the asset prices are modeled as exponential Levy processes, under possible convex constraints in the use of investment strategies. The general…

In the search for statistical dependency rules, a crucial task is to restrict the search space by estimating upper bounds for the goodness of yet undiscovered rules. In this paper, we show that all well-behaving goodness measures achieve…

Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…

For a sequence of nonnegative random variables, we provide simple necessary and sufficient conditions to ensure that each sequence of its forward convex combinations converges in probability to the same limit. These conditions correspond to…

The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cite{detlef-scandolo} and inspired by their result, we give a…

In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash…

We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…

A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…

Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…

We study the problem of regression with interval targets, where only upper and lower bounds on target values are available in the form of intervals. This problem arises when the exact target label is expensive or impossible to obtain, due…

We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…

The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on ${\cal C}_b(\Omega)$, we associate a unique equivalence class of…

The addition of lower level integrality constraints to a bi-level linear program is known to result in significantly weaker analytical properties. Most notably, the upper level goal function in the optimistic setting lacks lower…

We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…

In this paper we shall consider some famous means such as arithmetic, harmonic, geometric, root square mean, etc. Considering the difference of these means, we can establish. some inequalities among them. Interestingly, the difference of…

The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for…

In this paper, we address the trajectory planning problem in uncertain nonconvex static and dynamic environments that contain obstacles with probabilistic location, size, and geometry. To address this problem, we provide a risk bounded…