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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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1 result for “AROC”
Acceptability Indices of Performance for Bounded Càdlàg Processesq-fin.MF

New index for evaluating cash flow processes over a fixed horizon.

problem Evaluating performance of cash flow processes over a fixed investment horizon.
method Extended acceptability indices to càdlàg processes, providing a new index based on Average Value-at-Risk and running minimum.
result Suggested index represents a RAROC-type model for performance evaluation.
performance evaluationcash flow processescàdlàg processesacceptability indicesAROC
2019-11-06abs ↗pdf ↗