相关论文: Convex risk measures for good deal bounds

In the allocation of resources to a set of agents, how do fairness guarantees impact the social welfare? A quantitative measure of this impact is the price of fairness, which measures the worst-case loss of social welfare due to fairness…

We obtain revenue guarantees for the simple pricing mechanism of a single posted price, in terms of a natural parameter of the distribution of buyers' valuations. Our revenue guarantee applies to the single item n buyers setting, with…

In this paper, we study constraint qualifications for the nonconvex inequality defined by a proper lower semicontinuous function. These constraint qualifications involve the generalized construction of normal cones and subdifferentials.…

"No free lunch" results state the impossibility of obtaining meaningful bounds on the error of a learning algorithm without prior assumptions and modelling. Some models are expensive (strong assumptions, such as as subgaussian tails),…

We present an algorithm for robust model predictive control with consideration of uncertainty and safety constraints. Our framework considers a nonlinear dynamical system subject to disturbances from an unknown but bounded uncertainty set.…

In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional…

In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial risk analysis. By considering this problem as a special linear program with linear complementarity constraints (a bilevel…

We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic programs with complete linear recourse and random right-hand…

We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous and represented by nonadditive measures…

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…

Dynamic spectral risk measures define a claim's valuation bounds as supremum and infimum of expectations of the claim's payoff over a dominated set of measures. The measures at which such extrema are attained are called extreme measures. We…

Convertible bonds give rise to the so-called free boundary; i.e., an unknown boundary between continuation and conversion regions of the bond. The characteristic feature of such a bond, with an extra call feature, is that the free boundary…

In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into account not only the amounts but also the…

This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The contribution is to propose a condition for that the early…

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…

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…

We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…

A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case. One can find all kinds of special risk…

This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) partial strong convexity, we conduct an in-depth analysis of…