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.
Researchers calculated EVaR for various distributions using Lambert function.
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and strictly monotone over a broad sub-domain including all continuous distributions, wh…
Paper introduces Lambda EVaR, a new risk measure.
EVARS-GPR refines Gaussian Process Regression for seasonal data with sudden scale changes.
lCARE improves EVaR model for time-varying tail risk by localizing parameters.
This paper is devoted to study the optimal portfolio problem. Harry Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of finance. In modern portfolio theory, we typically find asset returns that are modeled by a random variable with an elliptical distribution and the notion of portfolio risk is d…
Study improves risk management for volatile markets using expectiles.
DeePM is a deep-learning portfolio manager that outperforms classical strategies in diversified futures markets.