相关论文: Estimated Correlation Matrices and Portfolio Optim…

We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our approach can be used to quantify uncertainty in realizations of stochastic processes…

We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…

A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…

In this work we study the problem of measuring the fairness of a machine learning model under noisy information. Focusing on group fairness metrics, we investigate the particular but common situation when the evaluation requires controlling…

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…

In real dialogue scenarios, as there are unknown input noises in the utterances, existing supervised slot filling models often perform poorly in practical applications. Even though there are some studies on noise-robust models, these works…

Humans and other animals base their decisions on noisy sensory input. Much work has therefore been devoted to understanding the computations that underly such decisions. The problem has been studied in a variety of tasks and with stimuli of…

Regulatory stress tests have become one of the main tools for setting capital requirements at the largest U.S. banks. The Federal Reserve uses confidential models to evaluate bank-specific outcomes for bank-specific portfolios in shared…

The estimation of modal parameters from a set of noisy measured data is a highly judgmental task, with user expertise playing a significant role in distinguishing between estimated physical and noise modes of a test-piece. Various methods…

The project managers who deal with risk management are often faced with the difficult task of determining the relative importance of the various sources of risk that affect the project. This prioritisation is crucial to direct management…

For long term investments, model portfolios are defined at the level of indexes, a setup known as Strategic Asset Allocation (SAA). The possible outcomes at a scale of a few decades can be obtained by Monte Carlo simulations, resulting in a…

We study the effect of a weak random additive noise in a linear chain of N locally-coupled logistic maps at the edge of chaos. Maps tend to synchronize for a strong enough coupling, but if a weak noise is added, very intermittent…

Derivative hedging and pricing are important and continuously studied topics in financial markets. Recently, deep hedging has been proposed as a promising approach that uses deep learning to approximate the optimal hedging strategy and can…

Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…

Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for…

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No…

When modelling time series, it is common to decompose observed variation into a "signal" process, the process of interest, and "noise", representing nuisance factors that obfuscate the signal. To separate signal from noise, assumptions must…

Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes…

Stochastic inverse problems considered in this article consist of estimating the probability distributions of intrinsically random inputs of computer models. These estimations are based on observable outputs affected by model noise, and…

Modern technologies are producing datasets with complex intrinsic structures, and they can be naturally represented as matrices instead of vectors. To preserve the latent data structures during processing, modern regression approaches…