MoneyScience: News item - Taleb: What Size Tail Does the Smart Money Bet On?
Taleb: What Size Tail Does the Smart Money Bet On? https://t.co/WYlbRLe9RE — Risk Management (@Risk_Mgmt) January 29, 2020
View ArticleMoneyScience: News item - Taleb: What Size Tail Does the Smart Money Bet On?
Taleb: What Size Tail Does the Smart Money Bet On? https://t.co/WYlbRLe9RE — Risk Management (@Risk_Mgmt) January 29, 2020
View ArticleRisk Management with Tail Quasi-Linear Means. (arXiv:1902.06941v3 [q-fin.RM]...
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at...
View ArticleKelly Betting with Quantum Payoff: a continuous variable approach....
The main purpose of this study is to introduce a semi-classical model describing betting scenarios in which, at variance with conventional approaches, the payoff of the gambler is encoded into the...
View ArticleRobust Optimal Investment and Reinsurance Problems with Learning....
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and...
View ArticleThe Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula...
There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical...
View ArticleHow Safe are European Safe Bonds? An Analysis from the Perspective of Modern...
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called European Safe Bonds...
View ArticleDeep combinatorial optimisation for optimal stopping time problems and...
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. Numerical tests are done on...
View ArticleStructured climate financing: valuation of CDOs on inhomogeneous asset pools....
Recently, a number of structured funds have emerged as public-private partnerships with the intent of promoting investment in renewable energy in emerging markets. These funds seek to attract...
View ArticleRevisiting integral functionals of geometric Brownian motion....
In this paper we revisit the integral functional of geometric Brownian motion $I_t= int_0^t e^{-(mu s +sigma W_s)}ds$, where $muinmathbb{R}$, $sigma > 0$, and $(W_s )_s>0$ is a standard Brownian...
View ArticleAn Interacting Agent Model of Economic Crisis. (arXiv:2001.11843v1...
Most national economies are linked by international trade. Consequently, economic globalization forms a massive and complex economic network with strong links, that is, interactions arising from...
View ArticleOn Calibration Neural Networks for extracting implied information from...
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve...
View ArticleQuasi-likelihood analysis for marked point processes and application to...
We develop a quasi-likelihood analysis procedure for a general class of multivariate marked point processes. As a by-product of the general method, we establish under stability and ergodicity...
View ArticleHousing Search in the Age of Big Data: Smarter Cities or the Same Old Blind...
Housing scholars stress the importance of the information environment in shaping housing search behavior and outcomes. Rental listings have increasingly moved online over the past two decades and, in...
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How successful leaders avoid predictable surprises
By now every reader drawn to articles like this will almost certainly have heard the acronym VUCA, so widely used these days. It was first used in 1987 and originates from the theories on leadership...
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