相关论文: Four Points Beginner Risk Managers Should Learn fr…

In finance, sequential decision problems are often faced, for which reinforcement learning (RL) emerges as a promising tool for optimisation without the need of analytical tractability. However, the objective of classical RL is the expected…

These lecture notes provide a comprehensive introduction to Quantitative Methods in Finance (QMF), designed for graduate students in finance and economics with heterogeneous programming backgrounds. The material develops a unified toolkit…

This paper revisits and extends the 2013 development by Rockafellar and Uryasev of the Risk Quadrangle (RQ) as a unified scheme for integrating risk management, optimization, and statistical estimation. The RQ features four…

Multiple testing plagues many important questions in finance such as fund and factor selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a double-bootstrap method, we establish a t-statistic hurdle that…

Mistakes in machine learning practice are commonplace, and can result in a loss of confidence in the findings and products of machine learning. This guide outlines common mistakes that occur when using machine learning, and what can be done…

In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].

The inherent volatility and dynamic fluctuations within the financial stock market underscore the necessity for investors to employ a comprehensive and reliable approach that integrates risk management strategies, market trends, and the…

Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…

State of the art reinforcement learning methods sometimes encounter unsafe situations. Identifying when these situations occur is of interest both for post-hoc analysis and during deployment, where it might be advantageous to call out to a…

Risk and uncertainty will always be a matter of experience, luck, skills, and modelling. Leverage is another concept, which is critical for the investor decisions and results. Adaptive skills and quantitative probabilistic methods need to…

LLM-based financial agents have attracted widespread excitement for their ability to trade like human experts. However, most systems exhibit a "profit mirage": dazzling back-tested returns evaporate once the model's knowledge window ends,…

Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…

In this paper, we discuss aspects of model risk management in financial institutions which could be adopted by academic institutions to improve the process of conducting academic research, identify and mitigate existing limitations,…

Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…

The purpose of this paper is to show that the use of heavy-tailed distributions in Financial problems is theoretically baseless and can lead to significant misunderstandings. The reason for this the authors see in an incorrect…

In reinforcement learning, a decision needs to be made at some point as to whether it is worthwhile to carry on with the learning process or to terminate it. In many such situations, stochastic elements are often present which govern the…

We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed…

It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…

Sophisticated machine learning (ML) models to inform trading in the financial sector create problems of interpretability and risk management. Seemingly robust forecasting models may behave erroneously in out of distribution settings. In…

Operating safely and reliably despite continual distribution shifts is vital for high-stakes machine learning applications. This paper builds upon the transformative concept of ``antifragility'' introduced by (Taleb, 2014) as a constructive…