Factor risk measures
Fuente:
arXiv
Saved in:
| Main Authors: | Assa, Hirbod, Liu, Peng |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025)
by: Han, Xiangyu, et al.
Published: (2025)
An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach
by: Melnikov, Vasily
Published: (2025)
by: Melnikov, Vasily
Published: (2025)
A General Theory of Risk Sharing
by: Melnikov, Vasily
Published: (2025)
by: Melnikov, Vasily
Published: (2025)
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)
by: Deep, Akash, et al.
Published: (2025)
Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)
by: Aichele, Martin, et al.
Published: (2025)
Bitcoin option pricing: A market attention approach
by: Julia, Alvaro Guinea, et al.
Published: (2021)
by: Julia, Alvaro Guinea, et al.
Published: (2021)
Risk sharing with Lambda value at risk under heterogeneous beliefs
by: Liu, Peng, et al.
Published: (2024)
by: Liu, Peng, et al.
Published: (2024)
Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)
by: Gazzani, Guido, et al.
Published: (2024)
Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)
by: Sopgoui, Lionel
Published: (2024)
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
by: Fießinger, Felix, et al.
Published: (2025)
by: Fießinger, Felix, et al.
Published: (2025)
Extended Convolution Bounds on the Fréchet Problem: Robust Risk Aggregation and Risk Sharing
by: Liu, Peng, et al.
Published: (2025)
by: Liu, Peng, et al.
Published: (2025)
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
The Riccati Tontine: How to Satisfy Regulators on Average
by: Milevsky, Moshe A., et al.
Published: (2024)
by: Milevsky, Moshe A., et al.
Published: (2024)
On the market-consistent valuation of health insurance liabilities
by: Hochgerner, Simon, et al.
Published: (2026)
by: Hochgerner, Simon, et al.
Published: (2026)
Universal basic income in a financial equilibrium
by: Weston, Kim
Published: (2026)
by: Weston, Kim
Published: (2026)
Computing Systemic Risk Measures with Graph Neural Networks
by: Gonon, Lukas, et al.
Published: (2024)
by: Gonon, Lukas, et al.
Published: (2024)
Linking Path-Dependent and Stochastic Volatility Models
by: Cohen, Samuel N., et al.
Published: (2025)
by: Cohen, Samuel N., et al.
Published: (2025)
Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)
by: Boonen, Tim J., et al.
Published: (2025)
The Omniscient, yet Lazy, Investor
by: Halkiewicz, Stanisław M. S.
Published: (2025)
by: Halkiewicz, Stanisław M. S.
Published: (2025)
Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)
by: Muhammad, Tashreef
Published: (2026)
Anticipatory Gains and Event-Driven Losses in Blockchain-Based Fan Tokens: Evidence from the FIFA World Cup
by: Saggu, Aman, et al.
Published: (2024)
by: Saggu, Aman, et al.
Published: (2024)
Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)
by: Choi, Jaehyuk, et al.
Published: (2024)
Equilibrium Mean-Variance Dividend Rate Strategies
by: Cao, Jingyi, et al.
Published: (2025)
by: Cao, Jingyi, et al.
Published: (2025)
Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
by: Hammouda, Chiheb Ben, et al.
Published: (2026)
by: Hammouda, Chiheb Ben, et al.
Published: (2026)
Enhancing Fourier pricing with machine learning
by: Junike, Gero, et al.
Published: (2024)
by: Junike, Gero, et al.
Published: (2024)
On conditional distortion risk measures under uncertainty
by: Gong, Shuo, et al.
Published: (2022)
by: Gong, Shuo, et al.
Published: (2022)
Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)
by: Criens, David, et al.
Published: (2023)
The VIX as Stochastic Volatility for Corporate Bonds
by: Park, Jihyun, et al.
Published: (2024)
by: Park, Jihyun, et al.
Published: (2024)
Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)
A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
by: Diaz-Lozano, Pere, et al.
Published: (2026)
by: Diaz-Lozano, Pere, et al.
Published: (2026)
Explicit Computations for Delayed Semistatic Hedging
by: Dolinsky, Yan, et al.
Published: (2023)
by: Dolinsky, Yan, et al.
Published: (2023)
Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility
by: Detemple, Jerome, et al.
Published: (2022)
by: Detemple, Jerome, et al.
Published: (2022)
Aggregation of financial markets
by: Menz, Georg, et al.
Published: (2023)
by: Menz, Georg, et al.
Published: (2023)
Betting Around the Clock: Time Change and Long Term Model Risk
by: Cherubini, Umberto
Published: (2026)
by: Cherubini, Umberto
Published: (2026)
Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
The Price of Information
by: Jaimungal, Sebastian, et al.
Published: (2024)
by: Jaimungal, Sebastian, et al.
Published: (2024)
The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)
by: Kühn, Christoph
Published: (2023)
No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)
by: Criens, David, et al.
Published: (2024)
Similar Items
-
On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025) -
An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
by: Liang, Zongxia, et al.
Published: (2024) -
Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach
by: Melnikov, Vasily
Published: (2025) -
A General Theory of Risk Sharing
by: Melnikov, Vasily
Published: (2025) -
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)