A new capital adequacy test is proposed based on value-at-risk.
problem Regulator's need for a capital adequacy test that doesn't depend on firms' surplus or currency.
method Proving that the only surplus-invariant, law-invariant, and conic acceptance set is the set of positions with negative value-at-risk.
result The value-at-risk test is the only possible capital adequacy test under specified conditions.
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of Asset Pricing using the dynamic coherent risk measures. We introduce the dynamic …
Proves smoothness of conical singularities in mean curvature flow.
problem Resolving singularities in mean curvature flow.
method Analyzes smooth hypersurfaces with isolated conical singularities.
result Smoothness of level set flow through asymptotically conical singularities.
Simple conditions for comonotonic additive risk measures from acceptance sets.
problem Conditions for comonotonic additive risk measures from acceptance sets.
method Conditions on acceptance sets for induced comonotonic additive risk measures.
result Acceptance sets induce comonotonic additive risk measures if and only if the acceptance sets and their complements are stable under convex combinations of comonotonic random variables.
The purpose of this paper is to generalize the convexity of Mabuchi's functional to the conic setting. We first established a frame to study conic cscK metrics, and then the conic Mabuchi functional was introduced in such a way that conic cscK metrics are its critical points. Finally we proved the convexity of the coni…
Dual representations for systemic risk measures using acceptance sets.
problem Measuring systemic risk in financial systems.
method Developed dual representations for systemic risk measures based on acceptance sets.
result Simple and self-contained proof of dual representations for utility-based risk measures.
New star-shaped acceptability indexes generalize existing methods.
problem Generalizing existing acceptability measures.
method Characterizing acceptability indexes through star-shaped risk measures and sets.
result Introducing concrete examples linked to various financial measures.
Conic singular sub-manifolds are Lipschitz Normally Embedded in compact non-Euclidean manifolds.
problem Understanding the Lipschitz geometry of conic singular sub-manifolds.
method Analyzing the metric properties of conic singular sub-manifolds in compact non-Euclidean manifolds.
result Connected conic singular sub-manifolds are Lipschitz Normally Embedded.
Proves existence of Yamabe metrics on conical 4-manifolds using min-max method.
problem Existence of Yamabe metrics on conical 4-manifolds with singular points.
method Min-max scheme adapted to singular setting, leveraging recent positive mass theorems.
result Existence of Yamabe metrics on conical 4-manifolds with finitely-many singular points.
Proposes new deviation measures using Minkowski gauges.
problem Lack of suitable acceptance sets for deviation measures.
method Derives deviation measures through Minkowski gauges of acceptable sets.
result Any positive homogeneous deviation measure can be accommodated in the framework.
Study finds conditions for conformal deformations to constant scalar curvature in conic metrics.
problem Finding conditions for conformal deformations to constant scalar curvature in conic metrics.
method Analyzes conformal deformations within a class of incomplete Riemannian metrics that generalize conic orbifold singularities.
result Determines sufficient conditions for the existence of a conformal deformation to a conic metric with constant scalar curvature -1.
Based on C. Li and Y. Rubinstein's upper bisectional curvature bound estimate for the conic Kähler metric, we can construct a smoothing sequence for the conic metric with uniformly upper bisectional curvature bound. For the conic metric along a simple normal crossing divisor with triple or higher multiple points we may…
The paper develops a theory for speculative decoding acceptance criteria.
problem Speculative decoding's acceptance criteria and their rejection regions.
method Characterization of rejection regions as lower level sets of the target distribution, derivation of exact and margin-based certificates.
result Relaxed and tree-based acceptance criteria substantially enlarge the region of certified acceptance.
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of dynamic subscale invariant performance measures, on a general probability space…
Integer degree found for conical self-expanders.
problem Existence of integer degree for conical self-expanders.
method Proper projection map from parameterizations to asymptotic cones.
result Existence of integer degree for conical self-expanders.
The Yamabe flow preserves conical singularities under certain conditions.
problem Preserving conical singularities under the Yamabe flow.
method Using maximal Lq-regularity theory for conically degenerate operators. result Asymptotic expansion of the evolving metric near conical tips.
Measures incompleteness of financial markets using asset rank and acceptance set dimension.
problem Measuring incompleteness of incomplete financial markets.
method Introduce rank of vector price process and dimension of acceptance set.
result Rank and dimension of acceptance set are equal.
In this paper we consider the problem of minimizing the relative perimeter under a volume constraint in the interior of a conically bounded convex set, i.e., an unbounded convex body admitting an \emph{exterior} asymptotic cone. Results concerning existence of isoperimetric regions, the behavior of the isoperimetric pr…
Study on surfaces with conical singularities and geodesic boundaries, deriving existence results.
problem Existence of conformal metrics with prescribed Gaussian curvature on surfaces with conical singularities and geodesic boundaries.
method Variational argument to derive existence results for surfaces with at least two boundary components.
result First result in this setting for surfaces with conical singularities of both positive and negative orders.
Estimates boundaries for acceptable bilateral gamma risk in financial markets.
problem Determining the compensation needed for risky future cash flows to be considered acceptable.
method Statistical inference from market prices and derivatives, using prospect theory.
result Upper and lower boundaries for bilateral gamma risk are estimated and tested against market data.
Characterizes conical angles for metrics with dihedral symmetry.
problem Understanding metrics with specific symmetry properties.
method Using recent results on local invariants of quadratic differentials.
result Complete characterization of conical angles for dihedral spherical metrics.
Survey on Ricci flow on spaces with conical singularities.
problem Analyzing Ricci flow on spaces with isolated conical singularities.
method Ricci de Turck flow preserving conical singularities, stability of Ricci flat metrics, preservation of positive scalar curvature under certain conditions.
result Ricci flat metrics with isolated conical singularities are stable and positive scalar curvature is preserved under the flow.
The geometry of closed surfaces equipped with a Euclidean metric with finitely many conical points of arbitrary angle is studied. The main result is that the image of a non-closed geodesic has 0 distance from the set of conical points. Dynamical properties for the space of geodesics are also proved.
Introduces Star-Shaped deviation measures for risk analysis.
problem Risk measurement and analysis in finance.
method Characterizes Star-Shaped deviation measures through acceptance sets and convex deviation measures.
result Exposes the relationship between Star-Shaped risk measures and deviation measures.
The abstract proves spherical surface decompositions with conical singularities.
problem Decomposing surfaces with spherical metrics and conical singularities.
method Geometric triangulations and irreducible components of standard shapes.
result Spherical polygons, including half-spherical concave polygons, can be arbitrarily complicated.
Study on spherical conical metrics and their reducibility on compact Riemann surfaces.
problem Existence and geometric structure of reducible spherical conical metrics.
method Analysis of monodromy groups and geometric cutting of surfaces.
result Existence of reducible spherical conical metrics with saddle points on the same geodesic.
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We derive a representation theorem for dynamic coherent risk measures in terms of …
Given a hyperbolic subgroup H of a hyperbolic group G for which a Cannon-Thurston map $\hat i:\partial H \ra \partial G$ exists, we study the limit set ΛH of H with respect to its action on ∂G. We prove that the set of conical limit points is exactly the subset of ΛH consisting of the points to wh…
Compactness proven for specific types of self-expanders in mean curvature flow.
problem Proving compactness for asymptotically conical self-expanders of mean curvature flow.
method Analyzing families of self-expanders and showing compactness in locally smooth topology.
result Properness of the projection map for specified classes of self-expanders.
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability …
The paper analyzes Perelman's entropies on manifolds with conical singularities.
problem Analyzing manifolds with conical singularities using Perelman's entropies.
method Employing singular Ricci de Turck flow and Perelman's entropies to study manifolds with conical singularities.
result Entropy is monotone along the singular Ricci de Turck flow and helps in proving properties of Ricci solitons.
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible ass…
Study on potential behavior in special geometric spaces.
problem Understanding potential behavior in specific geometric spaces.
method Analyzing asymptotic behavior of p-capacitary potentials and weak Inverse Mean Curvature Flow. result Characterized the behavior of potentials in Asymptotically Conical manifolds.
Optimizes a portfolio for an investor preferring accepted securities over a reference security.
problem Investor preference for a set of securities over a reference security with constraints.
method Mean-variance optimization with Sharpe Ratio performance measurement.
result Derives an optimal portfolio that maximizes returns while minimizing risk.
The study bounds and characterizes surfaces containing smooth conics and twistor fibers in a flag threefold.
problem Bounding and characterizing surfaces containing smooth conics and twistor fibers in a flag threefold.
method Analyzing the family of smooth conics and using algebraic properties to construct surfaces.
result The only smooth cases of surfaces containing infinitely many twistor fibers are of bidegree (1,1).
In the category of metrics with conical singularities along a smooth divisor with angle in (0,2π), we show that locally defined weak solutions (C1,1−solutions) to the Kähler-Einstein equations actually possess maximum regularity, which means the metrics are actually Hölder continuous in the singular polar coord…
Proposes a method to estimate acceptance regions for many classes, including new ones.
problem Lack of methods to handle new classes in set-valued classification.
method Generalized Prediction Set (GPS) approach to estimate acceptance regions.
result Achieves a good balance between accuracy, efficiency, and anomaly detection.
Study finds equivalence between MMV and MV preferences with conic constraints.
problem Monotone mean-variance portfolio selection under conic constraints.
method Closed-form solutions for optimal strategies under MMV and MV preferences.
result Optimal strategies coincide with and without the conic constraint.
Proves mean curvature flow from conical singularities to shrinkers.
problem Proving mean curvature flow from conical singularities to shrinkers.
method Ważewski box argument
result Existence of embedded closed hypersurface with mean curvature flow.
Compactifies Riemann surface metrics with conical singularities.
problem Constant curvature metrics on Riemann surfaces with conical singularities.
method Compactified spaces and study local deformation of metrics.
result Sharp regularity theorem for coalescing conic points.
In this paper, we study the Hausdorff dimension of the Floyd and Bowditch boundaries of a relatively hyperbolic group, and show that for the Floyd metric and shortcut metrics respectively, they are are both equal to a constant times the growth rate of the group. In the proof, we study a special class of conical points …
Extends existence results for scalar curvature on conical manifolds.
problem Existence of metrics with positive scalar curvature on conical manifolds.
method Extends Kazdan-Warner and Cruz-Vitório results to conical manifolds with isolated singularities using index theory.
result Any bounded and smooth negative function on a conical manifold is the scalar curvature of some conical metric.
Study of mean curvature flows with conical singularities using mathematical techniques.
problem Understanding the dynamics of mean curvature flows near conical singularities.
method Feynman-Kac formula and invariant cone method for noncompact settings.
result Generic initial perturbations avoid conical singularities in mean curvature flows.
The geometry of closed surfaces equipped with a Euclidean metric with finitely many conical points of arbitrary angle is studied. The main result is that the set of closed geodesics is dense in the space of geodesics.
New special Lagrangian submanifolds with multiple conical singularities found.
problem Existence of special Lagrangian submanifolds with multiple conical singularities.
method Extending Caffarelli-Hardt-Simon perturbation argument to special Lagrangian setting and proving a bridge principle.
result Existence of conically singular special Lagrangian submanifolds with prescribed regular tangent cones.
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the funct…
Constructs ALE Calabi-Yau metrics with cone singularities.
problem Creating ALE Calabi-Yau metrics with specific singularities.
method Resolving quotient singularities and constructing metrics with cone singularities.
result Generalizes Kronheimer's construction of smooth ALE gravitational instantons.
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…