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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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0111 · Nov 201819922001200920172026
2 results for “log-elliptical”
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributionsmath.ST

The paper introduces MRVaR and MRCov for elliptical and log-elliptical distributions.

problem Risk management of regulation and investment purposes.
method Proposes MRVaR and MRCov as risk measures for elliptical and log-elliptical distributions.
result Explicit expressions of MRVaR and MRCov derived for multivariate (log-)elliptical distributions.
Value-at-Riskcovarianceelliptical distributionslog-ellipticalrisk management
2023-05-16abs ↗pdf ↗
Obstructions for Symplectic Lie Algebroidsmath.SG

Several types of generically-nondegenerate Poisson structures can be effectively studied as symplectic structures on naturally associated Lie algebroids. Relevant examples of this phenomenon include log-, elliptic, bkb^k-, scattering and elliptic-log Poisson structures. In this paper we discuss topological obstructions…

2018-11-13abs ↗pdf ↗