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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.

168,695 papers · 148 categories

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7 results for “Lambda-quantiles”

Numerical methods for lambda quantiles: robust evaluation and portfolio optimisationq-fin.CP

Efficient algorithms compute lambda quantiles for robust portfolio optimization.

problem Computing lambda quantiles efficiently and robustly.

method Λ-Newton-Bis algorithm combining Newton's method and bisection, interval analysis for multiple roots.

result Demonstrated computational efficiency and practical relevance in portfolio optimization.

lambda quantiles portfolio optimization value at risk global convergence quadratic convergence

2026-05-07abs ↗pdf ↗

Risk contributions of lambda quantilesq-fin.RM

Study on risk contributions of portfolios using lambda quantile risk measures.

problem No known allocation rule for non-positively homogeneous risk measures.

method Defined lambda quantiles on portfolio compositions, derived derivatives, and introduced generalized Euler contributions.

result Explicit formulae for the derivatives of lambda quantiles, showing their homogeneity properties.

lambda quantile risk contributions portfolio risk non-linear portfolios Euler contributions

2021-06-28abs ↗pdf ↗

Max- and min-stability under first-order stochastic dominanceq-fin.MF

Study max- and min-stability under first-order stochastic dominance, finding new functional characterizations.

problem Understanding max- and min-stability in stochastic dominance.

method Representation theorem for functionals satisfying max-stability, combining max- and min-stability to define Lambda-quantiles.

result New characterizations of functionals, including Lambda-quantiles, in finance and political science.

stochastic dominance max-stability min-stability Lambda-quantiles representation theorem

2024-03-19abs ↗pdf ↗

Ranking Metrics: Extending Acceptability and Performance Indexesq-fin.RM

Paper extends ranking metrics theory for financial positions.

problem Developing a new class of functionals for evaluating financial positions.

method Axiomatic framework based on monotonicity and cash-quasiconcavity.

result Linking ranking metrics to families of acceptance sets and risk measures.

ranking metrics financial positions acceptability risk measures monotonicity

2026-04-06abs ↗pdf ↗

Ranking Metrics: Extending Acceptability and Performance Indexesq-fin.RM

Paper extends ranking metrics theory for financial positions.

problem Developing a new class of performance evaluation methods.

method Axiomatic framework based on monotonicity and cash-quasiconcavity.

result Linking ranking metrics to families of acceptance sets and risk measures.

ranking metrics financial positions acceptability indices risk measures monotonicity

2026-04-06abs ↗pdf ↗

Robust Lambda-quantiles and extremal distributionsq-fin.MF

Paper finds robust $Λ$ -quantiles equal to extremal distributions.

problem Investigating robust models for

Λ

-quantiles with partial loss information.

method Extending classical quantiles using

Λ

-quantiles and applying results from robust quantiles.

result Robust

Λ

-quantiles equal to

Λ

-quantiles of extremal distributions.

$Λ$-quantiles extremal distributions robust quantiles loss distribution uncertainty sets

2024-06-19abs ↗pdf ↗

FairPOT: Balancing AUC Performance and Fairness with Proportional Optimal Transportcs.LG

FairPOT balances fairness and AUC performance by selectively transforming risk scores.

problem Balancing fairness and AUC performance in high-stakes domains.

method FairPOT uses proportional optimal transport to selectively transform risk scores.

result FairPOT consistently improves fairness with minimal AUC degradation or even positive gains.

fairness AUC optimal transport risk scores post-processing

2025-08-05abs ↗pdf ↗