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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.

168,742 papers · 148 categories

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5 results for “coskewness”

Coskewness under dependence uncertaintymath.ST

Study on coskewness under varying dependence uncertainty.

problem Impact of dependence uncertainty on coskewness.

method Explicit bounds and numerical approximation for product expectation; introduction of standardized rank coskewness.

result Introduced standardized rank coskewness as a measure invariant under transformations.

coskewness dependence uncertainty product expectation numerical approximation standardized rank coskewness

2023-03-30abs ↗pdf ↗

Higher moments under dependence uncertainty with applications in insuranceq-fin.RM

The paper examines higher moments in insurance, focusing on coskewness and its impact on actuarial quantities.

problem The impact of higher-order moments on actuarial applications, particularly expected shortfall and life annuity valuation.

method Derives analytical bounds for mixed moments under unspecified dependence structure, applies copula-based mixture model.

result Coskewness and odd-order mixed moments exhibit a monotonic relationship with expected shortfall and annuity premiums.

insurance higher moments coskewness expected shortfall life annuity

2025-08-09abs ↗pdf ↗

Twoblock clustering trees with coskewness-based dimension reduction: recovering piecewise multivariate linear regimesstat.ME

A new tree-based model for multivariate responses interprets piecewise linear regimes.

problem Recovering piecewise multivariate linear regimes in complex data.

method Twoblock clustering trees with coskewness-based dimension reduction.

result Recovery of piecewise linear regimes in data.

twoblock clustering trees coskewness dimension reduction piecewise linear regimes multivariate responses

2026-07-22abs ↗pdf ↗

A Generalization of the Turaev Cobracket and the Minimal Self-Intersection Number of a Curve on a Surfacemath.GT

Goldman and Turaev constructed a Lie bialgebra structure on the free $\mathbb{Z}$ -module generated by free homotopy classes of loops on a surface. Turaev conjectured that his cobracket $Δ(α)$ is zero if and only if $α$ is a power of a simple class. Chas constructed examples that show Turaev's conjecture is, unfortunate…

2010-04-04abs ↗pdf ↗

Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimizationq-fin.PM

Algorithm tackles large-scale portfolio optimization with higher moments, improving computational efficiency.

problem Optimizing portfolios with higher moments (variance, skewness, kurtosis) for large asset universes is computationally infeasible.

method Developed a structure-exploiting algorithm based on Yau's affine-normal descent, working directly with return matrix.

result Algorithm avoids explicit higher-order tensors and exploits quartic structure for efficient computation.

portfolio optimization higher moments Yau's affine-normal descent large-scale computation asymmetry

2026-04-28abs ↗pdf ↗