Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing [PDF]
Entropy, 2023 Recent advances in quantum hardware offer new approaches to solve various optimization problems that can be computationally expensive when classical algorithms are employed.
Hanjing Xu +3 more
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Optimizing Expected Shortfall under an ℓ1 Constraint—An Analytic Approach [PDF]
Entropy, 2021 Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio r=N/T ...
Gábor Papp, Imre Kondor, Fabio Caccioli
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Implementation of a Commitment Machine for an Adaptive and Robust Expected Shortfall Estimation [PDF]
Frontiers in Artificial Intelligence, 2021 This study proposes a metaheuristic for the selection of models among different Expected Shortfall (ES) estimation methods. The proposed approach, denominated “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to measure
Marco Bagnato +3 more
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On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation [PDF]
EntropyWe introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE).
Pingyun Li, Chuancun Yin
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Nonparametric Expectile Shortfall Regression for Complex Functional Structure [PDF]
EntropyThis paper treats the problem of risk management through a new conditional expected shortfall function. The new risk metric is defined by the expectile as the shortfall threshold.
Mohammed B. Alamari +3 more
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Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [PDF]
تحقیقات مالی, 2020 Objective: The systemic risk is the risk of a crisis in the financial sector and its transmission to the economy. Due to the importance of social damage caused by the financial crisis, it is necessary to pay attention to the systemic risk and its factors.
Vali Nadi Qomi +2 more
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Change-point detection for expected shortfall in time series
Journal of Management Science and Engineering, 2021 Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance.
Lingyu Sun, Dong Li
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Managing Meteorological Risk through Expected Shortfall
Risks, 2020 This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An “hybrid” contract is introduced, combining insurance properties, specifically tailored for the region under ...
Silvana Stefani +3 more
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Optimisasi Portofolio Expected Shortfall Pada Saham Sektor Energi dan Pertambangan
Kubik, 2020 Saham sebagai salah satu produk investasi di pasar modal Indonesia tentunya memiliki risiko yang dapat memengaruhi keputusan investor dalam berinvestasi, dalam menentukan risiko dapat dilakukan dengan melihat diversifikasi portofolio dari beberapa saham.
Nurul Fadilah +2 more
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Climate value at risk and expected shortfall for Bitcoin market
Climate Risk Management, 2021 The economic risk of the carbon footprint of the Bitcoin network remains unexplored. We develop the real-time artificial price for the carbon footprint of the Bitcoin network and thereby extend the climate value at risk (VaR) into the climate expected ...
Lu Yang, Haifeng Xu
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