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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.

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1 result for “SSD-consistency”
Monetary Risk Measuresq-fin.MF

The paper explores non-convex risk measures and their characterizations.

problem Characterizing non-convex risk measures without convexity or weak convexity.
method Characterizes monetary risk measures as lower envelopes of families of convex or coherent risk measures, considering law-invariance and SSD-consistency.
result Unified representation theorems for law-invariant risk measures, including VaR.
Monetary risk measuresNon-convex risk measuresLaw-invarianceSSD-consistencyCoherent risk measures
2020-12-12abs ↗pdf ↗