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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.

168,694 papers · 148 categories

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0111 · Jan 201319922001200920172026
2 results for “Foster-Hart”
Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart riskq-fin.PM

Optimizes cryptocurrency portfolios using MNTS GARCH model.

problem Optimizing cryptocurrency portfolios with non-Gaussian return dynamics.
method Multivariate normal tempered stable (MNTS) GARCH model for non-Gaussian returns, Foster-Hart risk optimization.
result Foster-Hart optimization yields a more profitable portfolio with better risk-return balance.
cryptocurrencyportfolio optimizationGARCHMNTSFoster-Hart
2020-10-18abs ↗pdf ↗
The Foster-Hart Measure of Riskiness for General Gamblesq-fin.RM

Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distributions including many uniform distributions, e.g. We show how to extend consistently the definition of riskiness to continuous random variabl…

2013-01-08abs ↗pdf ↗