Results 11 to 20 of about 101 (91)
Robust risk aggregation with neural networks. [PDF]
Math Financ, 2020 Abstract We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a current best guess for the distribution, called reference measure, is available.
Eckstein S, Kupper M, Pohl M.
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Optimal allocations with α‐MaxMin utilities, Choquet expected utilities, and prospect theory
Theoretical Economics, Volume 18, Issue 3, Page 993-1022, July 2023., 2023 The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to α‐maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which accommodate ...
Patrick Beißner, Jan Werner
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Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
Mathematical Finance, Volume 32, Issue 1, Page 226-272, January 2022., 2022 Abstract We revisit mean‐risk portfolio selection in a one‐period financial market where risk is quantified by a positively homogeneous risk measure . We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty and compact.
Martin Herdegen, Nazem Khan
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Weak transport for non‐convex costs and model‐independence in a fixed‐income market
Mathematical Finance, Volume 31, Issue 4, Page 1423-1453, October 2021., 2021 Abstract We consider a model‐independent pricing problem in a fixed‐income market and show that it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to characterize the extremal models for the pricing of caplets on the spot rate and to establish a first robust super‐replication result that is applicable to fixed ...
Beatrice Acciaio +2 more
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Journal of Function Spaces, Volume 2019, Issue 1, 2019., 2019 The aim of this paper is to generalize the Choquet‐like integral with respect to a nonmonotonic fuzzy measure for generalized real‐valued functions and set‐valued functions, which is based on the generalized pseudo‐operations and σ‐⊕‐measures. Furthermore, the characterization theorem and transformation theorem for the integral are given.
Ting Xie, Zengtai Gong, Calogero Vetro
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Signed integral representations of comonotonic additive functionals
Journal of Mathematical Analysis and Applications, 2012 For Choquet integrals, two different frameworks are typically used. The first, introduced by Schmeidler, uses a space of bounded measurable functions, the second, studied by Zhou, uses a Stone vector lattice. In the present paper, the authors find a unified treatment.
Cerreia-Vioglio,Simone +3 more
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Mathematical Problems in Engineering, Volume 2017, Issue 1, 2017., 2017 New rational cubic Ball interpolation with one parameter is proposed for shape preserving interpolation such as positivity, monotonicity, and convexity preservations and constrained data lie on the same side of the given straight line. To produce shape preserving interpolant, the data dependent sufficient condition is derived on the parameter.
Samsul Ariffin Abdul Karim +2 more
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Integral representation of continuous comonotonically additive functionals [PDF]
Transactions of the American Mathematical Society, 1998 It is shown that for any quasi integral \(I\) on a Stone lattice \(L\) with \(I(1)= 1\) there exists a unique upper-continuous capacity \(\mu\) on the collection \(\Sigma\) of all upper contours of all functions belonging to \(L\) satisfying \(I(a)= \int_X ad\mu\), \(a\in L\).
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Sum of Bernoulli Mixtures: Beyond Conditional Independence
Journal of Probability and Statistics, Volume 2014, Issue 1, 2014., 2014 We consider the distribution of the sum of Bernoulli mixtures under a general dependence structure. The level of dependence is measured in terms of a limiting conditional correlation between two of the Bernoulli random variables. The conditioning event is that the mixing random variable is larger than a threshold and the limit is with respect to the ...
Taehan Bae +2 more
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Mathematical Problems in Engineering, Volume 2013, Issue 1, 2013., 2013 As is well known, a first‐order dominant deterioration in risk does not necessarily cause a risk‐averse investor to reduce his holdings of that deteriorated asset under the expected utility framework, even in the simplest portfolio setting with one safe asset and one risky asset.
Jiangfeng Li +4 more
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