Results 61 to 70 of about 5,554 (110)
Star-shaped acceptability indexes
, 2022 We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent and convex ...
Righi, Marcelo Brutti
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An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic dominance.
Chen, Yuyu, Embrechts, Paul, Wang, Ruodu
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Modeling and Analysis of Crypto-Backed Over-Collateralized Stable Derivatives in DeFi
In decentralized finance (DeFi), stablecoins like DAI are designed to offer a stable value amidst the fluctuating nature of cryptocurrencies. We examine the class of crypto-backed stable derivatives, with a focus on mechanisms for price stabilization ...
Feng, Zhenbang +2 more
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Enhancing Anomaly Detection in Financial Markets with an LLM-based Multi-Agent Framework
This paper introduces a Large Language Model (LLM)-based multi-agent framework designed to enhance anomaly detection within financial market data, tackling the longstanding challenge of manually verifying system-generated anomaly alerts.
Park, Taejin
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Supply chain resilience analysis aims to identify the critical elements in the supply chain, measure its reliability, and analyze solutions for improving vulnerabilities.
Ballot, Eric, Pan, Shenle, Pang, Yaxin
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A new characterization of second-order stochastic dominance
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the resulting position ...
Guan, Yuanying +2 more
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Some properties of Euler capital allocation
The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known.
Holden, Lars
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Text mining arXiv: a look through quantitative finance papers
This paper explores articles hosted on the arXiv preprint server with the aim to uncover valuable insights hidden in this vast collection of research. Employing text mining techniques and through the application of natural language processing methods, we
Bianchi, Michele Leonardo
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Αξιολόγηση επενδύσεων σε αιολικά πάρκα στην Ευρώπη με την μέθοδο των Real Options [PDF]
, 2016 Kriarakis, Stefanos-Stylianos +1 more
core +1 more source
Optimal Transport Divergences induced by Scoring Functions
We employ scoring functions, used in statistics for eliciting risk functionals, as cost functions in the Monge-Kantorovich (MK) optimal transport problem.
Pesenti, Silvana M., Vanduffel, Steven
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