相关论文: What is the Sharpe Ratio, and how can everyone get…

Portfolio diversification, traditionally measured through asset correlations and volatilitybased metrics, is fundamental to managing financial risk. However, existing diversification metrics often overlook non-numerical relationships…

When the regressors of a econometric linear model are nonorthogonal, it is well known that their estimation by ordinary least squares can present various problems that discourage the use of this model. The ridge regression is the most…

Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…

Portfolio optimization in real-world financial markets is notoriously difficult due to non-stationarity, noisy data, and high transaction costs. Standard predict-then-optimize methods first forecast returns and then solve for weights,…

We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confidence is here represented using ellipsoidal uncertainty sets…

We derive the mapping between two of the most pervasive utility functions, the mean square error ($MSE$) and the concordance correlation coefficient (CCC, $\rho_c$). Despite its drawbacks, $MSE$ is one of the most popular performance…

The paper explores the concept of the \emph{expectile risk measure} within the framework of the Fundamental Risk Quadrangle (FRQ) theory. According to the FRQ theory, a quadrangle comprises four stochastic functions associated with a random…

The skew-stickiness-ratio (SSR), examined in detail by Bergomi in his book, is critically important to options traders, especially market makers. We present a model-free expression for the SSR in terms of the characteristic function. In the…

The determination of an isotope ratio by secondary ion mass spectrometry (SIMS) traditionally involves averaging a number of ratios collected over the course of a measurement. We show that this method leads to an additive positive bias in…

The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy's features…

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying…

A new risk bound is presented for the problem of convex/concave function estimation, using the least squares estimator. The best known risk bound, as had appeared in \citet{GSvex}, scaled like $\log(en) n^{-4/5}$ under the mean squared…

Despite the simplicity and intuitive interpretation of Minimum Mean Squared Error (MMSE) estimators, their effectiveness in certain scenarios is questionable. Indeed, minimizing squared errors on average does not provide any form of…

We study in this paper the consequences of using the Mean Absolute Percentage Error (MAPE) as a measure of quality for regression models. We show that finding the best model under the MAPE is equivalent to doing weighted Mean Absolute Error…

Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not…

This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation…

This paper introduces \emph{biased mean regression}, estimating the \emph{biased mean}, i.e., $\mathbb{E}[Y] + x$, where $x \in \mathbb{R}$. The approach addresses a fundamental statistical problem that covers numerous applications. For…

The Brier score is a widely used metric evaluating overall performance of probabilistic predictions for binary outcomes in clinical research. However, its interpretation can be complex, as it does not align with commonly taught concepts in…

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].

We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…