Zobrazeno 1 - 10
of 309
pro vyhledávání: '"Bernard, Carole"'
Autor:
Bernard, Carole, Sturm, Stephan
We present a number of examples and counterexamples to illustrate the results on cost-efficiency in an incomplete market obtained in [BS24]. These examples and counterexamples do not only illustrate the results obtained in [BS24], but show the limita
Externí odkaz:
http://arxiv.org/abs/2407.08756
We study the impact of dependence uncertainty on the expectation of the product of $d$ random variables, $\mathbb{E}(X_1X_2\cdots X_d)$ when $X_i \sim F_i$ for all~$i$. Under some conditions on the $F_i$, explicit sharp bounds are obtained and a nume
Externí odkaz:
http://arxiv.org/abs/2303.17266
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is, however,
Externí odkaz:
http://arxiv.org/abs/2207.02948
Autor:
Bernard, Carole, Sturm, Stephan
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature exists for t
Externí odkaz:
http://arxiv.org/abs/2206.12511
In this paper we study $L_p$-norm spherical copulas for arbitrary $p \in [1,\infty]$ and arbitrary dimensions. The study is motivated by a conjecture that these distributions lead to a sharp bound for the value of a certain generalized mean differenc
Externí odkaz:
http://arxiv.org/abs/2206.10180
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper, we quantify, for the class of distortion risk measures with an absolut
Externí odkaz:
http://arxiv.org/abs/2205.08850
Publikováno v:
In Journal of Multivariate Analysis May 2024 201
Autor:
Bernard, Carole1,2 (AUTHOR), Perchiazzo, Andrea2 (AUTHOR) andrea.perchiazzo@vub.be, Vanduffel, Steven2 (AUTHOR)
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p925-943. 19p.
Autor:
Bernard, Carole, Müller, Alfred
The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expected distance of two independent samples. In this paper we study depend
Externí odkaz:
http://arxiv.org/abs/2004.11770
Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar options, s
Externí odkaz:
http://arxiv.org/abs/1911.05523