Portfolio theory is a very powerful tool in the modern investment theory. It is helpful in estimating risk of an investor's portfolio, which arises from our lack of information, uncertainty and incomplete knowledge of reality, which forbids a perfect prediction of future price changes. Despite of many advantages this t…
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5 results for “Graßmannians”
New ladder methods improve numerical accuracy in parallel transport on manifolds.
problem Lack of convergence analysis for ladder schemes on manifolds.
method Taylor approximations and iterative constructions of geodesic parallelograms.
result Ladder methods converge quadratically with quadratic speed.
This paper analyzes extreme flooding risks and proposes insurance and bond solutions.
problem Severe rise in magnitude and frequency of floods causing catastrophic losses.
method Extremes analysis using Peaks-Over-Threshold method and Point Process model; Value-at-Risk (VaR) and Conditional VaR (CVaR) estimation; Flood zoning insurance and catastrophic bond design.
result Developed flood risk vulnerability and threat analysis considering geography and economic factors; Proposed flood zoning insurance and catastrophic bond design.
Optimized Sharpe Ratio for better risk-adjusted decision-making in multi-armed bandits.
problem Challenging to optimize Sharpe Ratio (SR) in multi-armed bandits (MAB) due to constant regret.
method Proposed UCB-RSSR algorithm for RSSR maximization, derived path-dependent concentration bound and regret guarantees.
result UCB-RSSR outperforms existing algorithms and finds applications in risk-aware portfolio management.
The asymptotic concentration of the Fr{é}chet mean of IID random variables on a Rieman-nian manifold was established with a central limit theorem by Bhattacharya \& Patrangenaru (BP-CLT) [6]. This asymptotic result shows that the Fr{é}chet mean behaves almost as the usual Euclidean case for sufficiently concentrated di…