Cover Image

Convolution Bounds on Quantile Aggregation

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Blanchet, Jose, Lam, Henry, Liu, Yang, Wang, Ruodu
Format:	Preprint
Published:	2020
Subjects:	Risk Management Optimization and Control Probability Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
by: Liu, Hanchao, et al.
Published: (2023)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
by: Ren, Xin Yue, et al.
Published: (2024)

Lambda Expected Shortfall
by: Bellini, Fabio, et al.
Published: (2025)

Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021)

Risk-Averse Markov Decision Processes through a Distributional Lens
by: Cheng, Ziteng, et al.
Published: (2022)

Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
by: Feinstein, Zachary, et al.
Published: (2022)

Singular Control in a Cash Management Model with Ambiguity
by: Archankul, Arnon, et al.
Published: (2023)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
by: Kaakai, Sarah, et al.
Published: (2022)

Risk Measures for DC Pension Plan Decumulation
by: Forsyth, Peter A., et al.
Published: (2025)

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
by: Gnabeyeu, Emmanuel, et al.
Published: (2024)

Optimal Clearing Payments in a Financial Contagion Model
by: Calafiore, Giuseppe, et al.
Published: (2021)

Default Resilience and Worst-Case Effects in Financial Networks
by: Calafiore, Giuseppe, et al.
Published: (2024)

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
by: Aldalbahi, Ohood, et al.
Published: (2025)

Ranking Metrics: Extending Acceptability and Performance Indexes
by: Hitaj, Asmerilda, et al.
Published: (2026)

Robust quasi-convex risk measures and applications
by: Centrone, Francesca, et al.
Published: (2026)

Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs
by: Guo, Yucheng, et al.
Published: (2025)

Monotonic mean-deviation risk measures
by: Han, Xia, et al.
Published: (2023)

Clearing Payments in Dynamic Financial Networks
by: Calafiore, Giuseppe C., et al.
Published: (2022)

Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
by: Feinstein, Zachary, et al.
Published: (2022)

Optimal Cash Transfers and Microinsurance to Reduce Social Protection Costs
by: Azcue, Pablo, et al.
Published: (2025)

Optimal dividend and capital injection under self-exciting claims
by: Aubert, Paulin, et al.
Published: (2025)

Optimal Risk-Sharing Rules in Network-based Decentralized Insurance
by: Fogarty, Heather N., et al.
Published: (2026)

Singular Control in Inventory Management with Smooth Ambiguity
by: Archankul, Arnon, et al.
Published: (2025)

The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization
by: Deo, Anand, et al.
Published: (2025)

Joint Stochastic Optimal Control and Stopping in Aquaculture: Finite-Difference and PINN-Based Approaches
by: Kamm, Kevin
Published: (2025)

Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
by: Shi, Xiaomin, et al.
Published: (2025)

Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis
by: Liu, Hanchao, et al.
Published: (2024)

Kullback-Leibler Barycentre of Stochastic Processes
by: Jaimungal, Sebastian, et al.
Published: (2024)

Optimal nonparametric estimation of the expected shortfall risk
by: Bartl, Daniel, et al.
Published: (2024)

Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
by: Jang, Jiwook, et al.
Published: (2025)

Generalized Orlicz premia
by: Aygün, Mücahit, et al.
Published: (2025)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
by: Li, Chi-Lin, et al.
Published: (2023)

Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
by: De Vecchi, Corrado, et al.
Published: (2024)

Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)

On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making
by: Ewald, Christian Oliver, et al.
Published: (2023)

Budgeted Robust Intervention Design for Financial Networks with Common Asset Exposures
by: Calafiore, Giuseppe C.
Published: (2026)

Biased Mean Quadrangle and Applications
by: Malandii, Anton, et al.
Published: (2026)

Wishart conditional tail risk measures: An analytic approach
by: Da Fonseca, Jose, et al.
Published: (2026)