相关论文: Measuring sectoral diversification in an asymptoti…
Causal graphs may inform covariate adjustment for estimating causal effects and improve estimation efficiency by exploiting the graphical structure. In many applications, however, the target causal parameter may not be point-identified due…
Comparing two samples of data, we observe a change in the distribution of an outcome variable. In the presence of multiple explanatory variables, how much of the change can be explained by each possible cause? We develop a new estimation…
The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find those basis assets significantly related to…
This article focuses on covariance estimation for multi-study data. Popular approaches employ factor-analytic terms with shared and study-specific loadings that decompose the variance into (i) a shared low-rank component, (ii)…
This study develops and evaluates a deep reinforcement learning framework for dynamic portfolio allocation across global equity markets. The Soft Actor-Critic algorithm is used to learn continuous portfolio weights within a Markov Decision…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
In causal inference, estimating the average treatment effect is a central objective, and in the context of competing risks data, this effect can be quantified by the cause-specific cumulative incidence function (CIF) difference. While…
Many scientific questions in biomedical, environmental, and psychological research involve understanding the effects of multiple factors on outcomes. While factorial experiments are ideal for this purpose, randomized controlled treatment…
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes…
Accurately estimating risk measures for financial portfolios is critical for both financial institutions and regulators. However, many existing models operate at the aggregate portfolio level and thus fail to capture the complex…
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…
An aggregated method of nonparametric estimators based on time-domain and state-domain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a factor modeling strategy. We first investigate the asymptotic…
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
The quest for diversification has led to an increasing number of complex funds with a high number of strategies and non-linear payoffs. The new generation of Alternative Risk Premia (ARP) funds are an example that has been very popular in…
Diet is a risk factor for many diseases. In nutritional epidemiology, studying reproducible dietary patterns is critical to reveal important associations with health. However, it is challenging: diverse cultural and ethnic backgrounds may…
We propose a framework to analyze how multivariate representations disentangle ground-truth generative factors. A quantitative analysis of disentanglement has been based on metrics designed to compare how one variable explains each…
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous…
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global…
We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors.…