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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.

169,341 papers · 148 categories

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48 results for Arrow-Pratt theorem

The paper proves conditions for Jensen's inequality with Choquet integral and applies it to risk aversion.

problem Conditions for Jensen's inequality with generalized Choquet integral.
method Analyzes necessary and sufficient conditions for Jensen's inequality for the generalized Choquet integral.
result Generalized Arrow-Pratt theorem for risk aversion using generalized Choquet integral.

Paper develops a new framework for analyzing certainty equivalents and dynamic risk premia using Malliavin calculus and Wiener chaos analysis.

problem Limitations of Arrow-Pratt approximation for arbitrary sequences of vanishing risks.
method Develops a new framework based on Malliavin calculus and Wiener chaos analysis, combining Itô calculus, the Clark--Ocone representation, and the Wiener chaos decomposition.
result Establishes a unified framework linking expected utility theory, stochastic analysis, and Wiener chaos expansions, revealing higher-order certainty equivalents and dynamic risk premia.

Submodularity is studied for convex risk measures, including Expected Shortfall.

problem Characterizing submodularity in convex risk measures.
method Analyzing submodularity properties of law-invariant coherent risk measures, including Expected Shortfall and Value-at-Risk.
result AES is submodular only when it reduces to ES, and empirical analysis shows AES violations are less frequent than VaR and ES violations.

This paper solves a coinsurance problem using fuzzy numbers and expected utility operators.

problem Formulating a coinsurance problem in the possibilistic setting of expected utility operators.
method Developed a framework using expected utility operators to model risk aversion and solve the coinsurance problem.
result Various formulas for the optimal TT-coinsurance rate are derived for specific utility functions and fuzzy numbers.

The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and deterministic coefficients. It turns out that the indirect utility functions inherit the…

2008-05-05abs ↗pdf ↗

Derives a new formula for measuring risk aversion in markets.

problem Measuring the degree of risk aversion in markets accurately.
method Closed-form expression based on three variables: Treasury yields, returns, and market capitalization.
result Investors exhibit Decreasing Absolute Risk Aversion (DARA) but the degree of Relative Risk Aversion (RRA) varies.

The paper proves a new theorem in Riemannian geometry and offers a new proof for Toponogov's theorem in Alexandrov geometry.

problem Proving new theorems in Riemannian and Alexandrov geometries.
method Inspired by the proof of the Schur-Toponogov theorem, a new proof of Toponogov's theorem is provided.
result A new theorem in Riemannian geometry and a new proof of Toponogov's theorem in Alexandrov geometry.

The paper proves three circles theorems and Liouville type theorems for subharmonic and holomorphic functions.

problem Establishing theorems for subharmonic and holomorphic functions on specific geometric structures.
method Using subharmonic and holomorphic functions on Riemannian manifolds and gradient shrinking Ricci solitons.
result Proves Liouville type theorems as applications of the established theorems.

Paper generalizes complex Brunn-Minkowski theory and proves new extension theorems.

problem Complex Brunn-Minkowski theory and extension theorems.
method Hilbert bundle approach to complex Brunn-Minkowski theory.
result Generalizes Guan's sharp strong openness theorem and sharp Ohsawa-Takegoshi extension theorem.

Formulates Index III lemma and Rauch III theorem with applications.

problem Develops new mathematical theorems based on existing ones.
method Formulation of Index III lemma and Rauch III theorem based on Index I, II lemmas and Rauch I, II theorems.
result Presented Rauch's type theorem and volume comparison result as applications.

In LM, we proved a family version of the famous Witten rigidity theorems and several family vanishing theorems for elliptic genera. In this paper, we gerenalize our theorems LM in two directions. First we establish a family rigidity theorem for the Dirac operator on loop space twisted by general positive energy loop gr…

1999-11-05abs ↗pdf ↗

The paper explains the topological origin of the distinction between incidence theorems over division rings and fields.

problem Understanding the distinction between incidence theorems over division rings and fields.
method Extending the surface-graph approach to noncommutative settings, the paper analyzes the topological properties of graphs embedded on surfaces of different genera.
result Theorems associated with graphs on the sphere hold over any division ring, while those on surfaces of positive genus typically hold only if the ground ring is a field.

INT benchmark tests theorem proving agents' ability to generalize to unseen theorems.

problem Evaluating theorem proving agents' ability to generalize to unseen theorems.
method INT benchmark based on a theorem generation and proof procedure with adjustable knobs for measuring 6 types of generalization.
result MCTS can help agents prove new theorems.

The paper proves injectivity and vanishing theorems on compact Kahler manifolds.

problem Injectivity and vanishing theorems on compact Kahler manifolds.
method Hodge theory, Bochner-Kodaira-Nakano identity, analytic method, transcendental method, Demailly-Peternell-Schneider equisingular approximation theorem, Hormander L2 estimates.
result The main injectivity theorem implies several Nadel type vanishing theorems.

The paper generalizes the Liouville theorem for minimal hypersurfaces with finite index.

problem Studying minimal hypersurfaces with finite index in Riemannian manifolds.
method Generalizing previous theorems on stable minimal hypersurfaces.
result Eigenvalue estimates for minimal hypersurfaces with finite index.