Zobrazeno 1 - 10
of 110
pro vyhledávání: '"101007 Finanzmathematik"'
Autor:
Kevin Kurt, Ruediger Frey
Publikováno v:
Stochastic Processes and their Applications. 153:391-422
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. MMAPs allow for richer models i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::94466b846c5bcce7b36405200fb34e58
https://doi.org/10.1016/j.spa.2022.08.009
https://doi.org/10.1016/j.spa.2022.08.009
Publikováno v:
Journal of Global Optimization. 83:301-327
In this paper we consider a problem, called convex projection, of projecting a convex set onto a subspace. We will show that to a convex projection one can assign a particular multiobjective convex optimization problem, such that the solution to that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::52249c91a2b165ce354d83e74ed3f601
https://doi.org/10.1007/s10898-021-01111-1
https://doi.org/10.1007/s10898-021-01111-1
Publikováno v:
Frontiers of Mathematical Finance. 1(2):219-248
The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem the acceptability maximization. First, we study the one-period (stati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eaf8c49faddb5e56cba634b8bd9952a9
https://research.wu.ac.at/de/publications/1811a2fd-60fa-4c4d-95b3-30757b586997
https://research.wu.ac.at/de/publications/1811a2fd-60fa-4c4d-95b3-30757b586997
Autor:
Tobias Fissler, Johanna F. Ziegel
Publikováno v:
Fissler, Tobias; Ziegel, Johanna F. (2021). On the elicitability of Range Value at Risk. Statistics & risk modeling, 38(1-2), pp. 25-46. De Gruyter 10.1515/strm-2020-0037
The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES). Range value at risk (RVaR) is a natural interpolation between VaR and ES, constituting a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0bffdac981a87fe3a298e31baacc14d
https://doi.org/10.1515/strm-2020-0037
https://doi.org/10.1515/strm-2020-0037
Publikováno v:
Finance and Stochastics. 25(1):133-165
Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::1779aa5dfd50d1400d30c18b0bfaa782
https://research.wu.ac.at/de/publications/9d205128-c903-410a-9343-4f966d837377
https://research.wu.ac.at/de/publications/9d205128-c903-410a-9343-4f966d837377
Autor:
Zachary Feinstein, Birgit Rudloff
Publikováno v:
Statistics and Risk Modeling. 38(3-4):71-90
In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3d0d8ef2fafb7e22725db0596a5b7b0
https://research.wu.ac.at/de/publications/786d9579-f9cd-466b-a513-c830738b0b90
https://research.wu.ac.at/de/publications/786d9579-f9cd-466b-a513-c830738b0b90
Autor:
Birgit Rudloff, Firdevs Ulus
Publikováno v:
Mathematics and Financial Economics
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price bounds as se
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::46bb59c7fa915d7cfc4fe5649adee9fa
https://doi.org/10.1007/s11579-020-00282-x
https://doi.org/10.1007/s11579-020-00282-x
Publikováno v:
Stochastic Processes and their Applications. 130:1913-1946
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model is consis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0030a5378d929dbf2f7d257ab0461b71
https://doi.org/10.1016/j.spa.2019.06.004
https://doi.org/10.1016/j.spa.2019.06.004
Publikováno v:
The Review of Corporate Finance Studies.
We show that the effect of regulation on credit rating informativeness depends on asset complexity. Using the Dodd-Frank Act as a shock to the rating industry, we analyze the impact of rating changes on market prices, conditioning on various measures
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::91b43ff91e3aa73a80181142182ddf55
https://doi.org/10.1093/rcfs/cfac003
https://doi.org/10.1093/rcfs/cfac003
Autor:
Rüdiger Frey, Verena Köck
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030996376
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d5642a51c70ee220da02c2d53913ddb
https://research.wu.ac.at/de/publications/efa8edbd-ed96-4e2a-ab88-1c5b748e9e28
https://research.wu.ac.at/de/publications/efa8edbd-ed96-4e2a-ab88-1c5b748e9e28
