Zobrazeno 1 - 10
of 77
pro vyhledávání: '"Ararat, Çağın"'
Autor:
AlAli, Wissam, Ararat, Çağın
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined using a general aggregation function with some continuity properties
Externí odkaz:
http://arxiv.org/abs/2408.08511
Autor:
Ararat, Çağın, Feinstein, Zachary
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a random vector
Externí odkaz:
http://arxiv.org/abs/2407.16878
Autor:
Ararat, Çağın, Ma, Jin
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known Aumann-It\^{o} stochas
Externí odkaz:
http://arxiv.org/abs/2308.13110
Autor:
Ararat, Çağın
We study the composition of two set-valued functions defined on locally convex topological linear spaces. We assume that these functions map into certain complete lattices of sets that have been used to establish a conjugation theory for set-valued f
Externí odkaz:
http://arxiv.org/abs/2306.15906
In this work, we propose an outer approximation algorithm for solving bounded convex vector optimization problems (CVOPs). The scalarization model solved iteratively within the algorithm is a modification of the norm-minimizing scalarization proposed
Externí odkaz:
http://arxiv.org/abs/2302.08723
Autor:
Ararat, Çağın, Cetin, Umur
As appropriate generalizations of convex combinations with uncountably many terms, we introduce the so-called Choquet combinations, Choquet decompositions and Choquet convex decompositions, as well as their corresponding hull operators acting on the
Externí odkaz:
http://arxiv.org/abs/2201.06141
Convexity and quasiconvexity are two properties that capture the concept of diversification for risk measures. Between the two, there is natural quasiconvexity, an old but not so well-known property weaker than convexity but stronger than quasiconvex
Externí odkaz:
http://arxiv.org/abs/2201.05686
Autor:
Ararat, Çağın, Tekin, Cem
We introduce vector optimization problems with stochastic bandit feedback, in which preferences among designs are encoded by a polyhedral ordering cone $C$. Our setup generalizes the best arm identification problem to vector-valued rewards by extendi
Externí odkaz:
http://arxiv.org/abs/2110.12311
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recent strategy for asset allocation that aims at equally sharing the globa
Externí odkaz:
http://arxiv.org/abs/2110.12282
Autor:
Ararat, Çağın, Aygün, Mücahit
Motivated by the problem of finding dual representations for quasiconvex systemic risk measures in financial mathematics, we study quasiconvex compositions in an abstract infinite-dimensional setting. We calculate an explicit formula for the penalty
Externí odkaz:
http://arxiv.org/abs/2108.12910