相关论文: A New Characterization of Comonotonicity and its A…

Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…

We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…

In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen's inequality provides an…

In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for…

Sample complexity bounds are a common performance metric in the Reinforcement Learning literature. In the discounted cost, infinite horizon setting, all of the known bounds have a factor that is a polynomial in $1/(1-\gamma)$, where $\gamma…

Along with substantial progress made recently in designing near-optimal mechanisms for multi-item auctions, interesting structural questions have also been raised and studied. In particular, is it true that the seller can always extract…

We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…

It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that…

Maximum-type statistics of certain functions of the sample covariance matrix of high-dimensional vector time series are studied to statistically confirm or reject the null hypothesis that a data set has been collected under normal…

Conditional copula models allow dependence structures to vary with observed covariates while preserving a separation between marginal behavior and association. We study the uniform asymptotic behavior of kernel-weighted local likelihood…

Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the…

The notion of a $U$-statistic for an $n$-tuple of identical quantum systems is introduced in analogy to the classical (commutative) case: given a selfadjoint `kernel' $K$ acting on $(\mathbb{C}^{d})^{\otimes r}$ with $r<n$, we define the…

The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly…

We propose a notion of conditional vector quantile function and a vector quantile regression. A \emph{conditional vector quantile function} (CVQF) of a random vector $Y$, taking values in $\mathbb{R}^d$ given covariates $Z=z$, taking values…

A new wave of work on covariance cleaning and nonlinear shrinkage has delivered asymptotically optimal analytical solutions for large covariance matrices. The same framework has been generalized to empirical cross-covariance matrices, whose…

This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…

We propose a kernel-based nonparametric framework for mean-variance optimization that enables inference on economically motivated shape constraints in finance, including positivity, monotonicity, and convexity. Many central hypotheses in…

We consider the \mnk{classical} problem of a controller activating (or sampling) sequentially from a finite number of $N \geq 2$ populations, specified by unknown distributions. Over some time horizon, at each time $n = 1, 2, \ldots$, the…

We consider asymptotic behavior of the correlation functions of the characteristic polynomials of the hermitian sample covariance matrices $H_n=n^{-1}A_{m,n}^*A_{m,n}$, where $A_{m,n}$ is a $m\times n$ complex matrix with independent and…

Let $\xi_1,\xi_2,...$ be independent identically distributed random variables and $F:\bbR^\ell\to SL_d(\bbR)$ be a Borel measurable matrix-valued function. Set $X_n=F(\xi_{q_1(n)},\xi_{q_2(n)},...,\xi_{q_\ell(n)})$ where $0\leq…