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pro vyhledávání: '"Liebrich A"'
We revisit the recently introduced concept of return risk measures (RRMs). We extend it by allowing risk management via multiple so-called eligible assets. The resulting new risk measures are called multi-asset return risk measures (MARRMs). We analy
Externí odkaz:
http://arxiv.org/abs/2411.08763
Autor:
Liebrich, Felix-Benedikt
Publikováno v:
In Insurance Mathematics and Economics September 2024 118:129-141
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:
Bogner, Gerhard, Marth, Christian, Petru, Edgar, Reinthaller, Alexander, Schauer, Christian, Sevelda, Paul, D’Hondt, Lionel, Vergote, Ignace, Vuylsteke, Peter, Hietanen, Sakari, Lindahl, Gabriel, Mäenpää, Johanna, Nøttrup, Trine Jakobi, Puistola, Ulla, Abadie-Lacourtoisie, Sophie, Alexandre, Jérôme, Berton-Rigaud, Dominique, Boissier, Emilie, Bourgeois, Hugues, Chevalier-Place, Annick, Combe, Pierre, Costan, Cristina, Dauba, Jérôme, De Cock, Laure, Desauw, Christophe, Despax, Raymond, Dohollou, Nadine, Dubot, Coraline, Fabbro, Michel, Favier, Laure, Floquet, Anne, Follana, Philippe, Tixidre, Claire Garnier, Garnier, Georges, Gladieff, Laurence, Grenier, Julien, Guillemet, Cécile, Hardy-Bessard, Anne-Claire, Joly, Florence, Kalbacher, Elsa, Kaminsky, Marie-Christine, Kurtz, Jean-Emmanuel, Largillier, Rémy, Lefeuvre-Plesse, Claudia, Lesoin, Anne, Levache, Charles Briac, L’Haridon, Tifenn, Lortholary, Alain, Lotz, Jean-Pierre, Medioni, Jacques, Meunier, Jérôme, Mousseau, Mirerille, Mouret-Reynier, Marie-Ange, Pautier, Patricia, Petit, Thierry, Provansal, Magali, Pujade-Lauraine, Eric, Raban, Nadia, Ray-Coquard, Isabelle, Rodrigues, Manuel, Selle, Frédéric, Sverdlin, Robert, Tazi, Youssef, You, Benoît, Aktas, Bahriye, Olaf Bauerschlag, Dirk, Beck, Thomas, Belau, Antje, Bronger, Holger, Buchholz, Stefan, Buderath, Paul, Burges, Alexander, Canzler, Ulrich, de Gregorio, Nikolaus, Denschlag, Dominik, Dieterich, Max, Eichbaum, Michael, El-Balat, Ahmed, Emons, Günter, Fasching, Peter, Feisel-Schwickardi, Gabriele, Frank, Matthias, Friedrich, Michael, Grischke, Eva-Maria, Gropp-Meier, Martina, Hanker, Lars, Hannig, Carla, Harter, Philipp, Hasenburg, Annette, Hellriegel, Martin, Herwig, Uwe, Heubner, Martin, Hulde, Joachim, Jackisch, Christian, Kögel, Matthias, Krieger, Peter, Kühn, Thorsten, Liebrich, Clemens, Lück, HansJoachim, Mallmann, Peter, Marmé, Frederik, Meier, Werner, Möbus, Voker, Mohamed, Omar Farag, Nestle-Krämling, Carolin, Neunhöffer, Tanja, Oskay-Özcelik, Gülten, Park-Simon, Tjoung-Won, Rautenberg, Beate, Rein, Daniel, Ruhwedel, Wencke, Runnebaum, Ingo, Sagasser, Jacqueline, Schmalfeldt, Barbara, Schneeweiss, Andreas, Schnelzer, Andreas, Scholz, Heinz, Sehouli, Jalid, Sperfeld, Antje, Steckkönig, Annette, Strauß, Hans-Georg, Tomé, Oliver, Treustedt, Jörn, Voß, Hermann, Wischnik, Arthur, Witteler, Ralf, Wöckel, Achim, Woeltjen, Hans-Heinrich, Zorr, Andreas, Bologna, Alessandra, Colombo, Nicoletta, Tognon, Germana, Cinieri, Saverio, Lorusso, Domenica, Mosconi, Anna Maria, Pignata, Sandro, Savarese, Antonella, Scambia, Giovanni, Sorio, Roberto, Zamagni, Claudio, Fujiwara, Keiichi, Fujiwara, Hiroyuki, Kobayashi, Hiroaki, Matsumoto, Takashi, Nagao, Shoji, Satoh, Toyomi, Yonemori, Kan, Yoshida, Hiroyuki, Bratos, Raquel, Caballero, Cristina, Garica, Yolanda, González-Martín, Antonio, Guerra-Alía, Eva Maria, Hernando, Susana, Herrero, Ana, Lainez, Nuria, Manso, Luis, Martin, Cristina, Murata, Eleonor, Ortega, Eugenia, Palacio, Isabel, Poveda, Andres, Romero, Ignacio, Rubio-Pérez, María Jesús, Harter, P., Marth, C., Mouret-Reynier, M.-A., Cropet, C., Lorusso, D., Guerra-Alía, E.M., Matsumoto, T., Vergote, I., Colombo, N., Mäenpää, J., Lebreton, C., de Gregorio, N., Mosconi, A.M., Rubio-Pérez, M.J., Bourgeois, H., Fasching, P.A., Cecere, S.C., Hardy-Bessard, A.-C., Denschlag, D., de Percin, S., Hanker, L., Favier, L., Bauerschlag, D., Desauw, C., Hillemanns, P., Largillier, R., Sehouli, J., Grenier, J., Pujade-Lauraine, E., Ray-Coquard, I.
Publikováno v:
In Annals of Oncology
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
Publikováno v:
COMPEL -The international journal for computation and mathematics in electrical and electronic engineering, 2023, Vol. 42, Issue 4, pp. 963-971.
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