Zobrazeno 1 - 10
of 444
pro vyhledávání: '"Liebrich, P."'
Autor:
Liebrich, Felix-Benedikt
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference probability measu
Externí odkaz:
http://arxiv.org/abs/2108.05791
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve and sharpen known results from the literature. However, our results al
Externí odkaz:
http://arxiv.org/abs/2106.01281
Autor:
Liebrich, P.
In field theory the Poisson bracket $\{F, \mathcal{H}\}$ between an arbitrary function $F$ and the system Hamiltonian $\mathcal{H}$ acquires odd contributions. Here a modification is worked out to remove those terms, which leads to a certain version
Externí odkaz:
http://arxiv.org/abs/2103.04313
Autor:
Liebrich, Felix-Benedikt, Nendel, Max
We investigate robust Orlicz spaces as a generalisation of robust $L^p$-spaces. Two constructions of such spaces are distinguished, a top-down approach and a bottom-up approach. We show that separability of robust Orlicz spaces or their subspaces has
Externí odkaz:
http://arxiv.org/abs/2009.09007
Robust models in mathematical finance replace the classical single probability measure by a sufficiently rich set of probability measures on the future states of the world to capture (Knightian) uncertainty about the "right" probabilities of future e
Externí odkaz:
http://arxiv.org/abs/2004.06636
Akademický článek
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Autor:
Liebrich, P.
In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from "Geometric Arbitrage Theory" and the latter from "Stocha
Externí odkaz:
http://arxiv.org/abs/1909.00570
Autor:
Liebrich, P.
A formulation of Covariant Canonical Quantization is discussed, which works on an extended Hilbert space and reduces to conventional canonical quantization when constraining to the solution of the field equation a priori. From the formal point of vie
Externí odkaz:
http://arxiv.org/abs/1907.00645
Akademický článek
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We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access
Externí odkaz:
http://arxiv.org/abs/1809.10015