相关论文: CAPM, rewards, and empirical asset pricing with co…

We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined by Delbaen. In a…

The `beta' is one of the key quantities in the capital asset pricing model (CAPM). In statistical language, the beta can be viewed as the slope of the regression line fitted to financial returns on the market against the returns on the…

Risk behavior can have substantial consequences for health, well-being, and functioning. Previous studies have shown an association between real-world risk behavior and risk behavior on experimental tasks, such as the Columbia Card Task,…

We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…

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…

We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash…

We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…

Counterfactual explanations indicate the smallest change in input that can translate to a different outcome for a machine learning model. Counterfactuals have generated immense interest in high-stakes applications such as finance,…

It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional…

A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…

In the multivariate setting, estimates of extremal risk measures are important in many contexts, such as environmental planning and structural engineering. In this paper, we propose new estimation methods for extremal bivariate return…

Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…

The multi-armed bandit (MAB) is a classical online optimization model for the trade-off between exploration and exploitation. The traditional MAB is concerned with finding the arm that minimizes the mean cost. However, minimizing the mean…

Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are…

Recent research has devoted considerable effort to verifying the intermediate reasoning steps of chain-of-thought (CoT) trajectories using process reward models (PRMs) and other verifier models. However, training a PRM typically requires…

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust…

The purpose of this paper is to describe and extend the use of the newly-introduced measure, residual estimation risk. Following the seminal work of Bignozzi and Tsanakas, the quantification of residual estimation risk is proposed in a…

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe…

This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically…