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.
This paper tackles over-certainty in test-time adaptation models, proposing a solution to improve calibration.
Study on implied certainty equivalent rates in financial markets and electric vehicles.
Study shows certainty equivalent policy minimizes regret in continuous-time systems.
Scores measure certainty and doubt in classification predictions.
Solves Merton's investment-consumption problem with certainty equivalent approach.
Overview of risk-sensitive Markov decision processes with Optimized Certainty Equivalent.
We propose Generative Well-intentioned Networks (GWINs), a novel framework for increasing the accuracy of certainty-based, closed-world classifiers. A conditional generative network recovers the distribution of observations that the classifier labels correctly with high certainty. We introduce a reject option to the cl…
The paper develops a new approach to conditional risk measures using modular convex analysis.
Study scaling limits for option pricing in trinomial models.
CEFOL uses deep learning for dynamic programming with recursive utility.
Study risk-sensitive market making with entropy regularization for better quote control.
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price bounds as set-valued functions of the claim. Furthermore, we motivate and introduc…
Ensemble methods have been widely used for improving the results of the best single classificationmodel. A large body of works have achieved better performance mainly by applying one specific ensemble method. However, very few works have explored complex fusion schemes using het-erogeneous ensembles with new aggregatio…
Deep learning solves dynamic programming with recursive utility.
This work uses a scalable approach to identify partially observed nonlinear systems.
Study risk-sensitive reinforcement learning with optimized certainty equivalents.
The paper analyzes risk estimation methods and derives bounds for OCE risk.
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands. We first study this problem under expected utility preferences with an objectivel…
Introduces new performance measures using scaled utility functions.
Proposes a new method to rank risky investments based on Omega measure.
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very …
New multivariate risk measures improve on univariate OCE methods.
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric Brownian motion and exponential Ornstein-Uhlenbeck models -- to account for, respectiv…
We study the performance of the certainty equivalent controller on Linear Quadratic (LQ) control problems with unknown transition dynamics. We show that for both the fully and partially observed settings, the sub-optimality gap between the cost incurred by playing the certainty equivalent controller on the true system …
In this paper, we aim to solve for unsupervised domain adaptation of classifiers where we have access to label information for the source domain while these are not available for a target domain. While various methods have been proposed for solving these including adversarial discriminator based methods, most approache…
This study provides an independent, outside-in estimate of the cost and schedule risks of nuclear waste storage projects. Based on a reference class of 216 past, comparable projects, risk of cost overrun was found to be 202% or less, with 80% certainty, i.e., 20% risk of an overrun above 202%. Based on a reference clas…
A novel approach for semi-supervised learning using regularized optimal transport.
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior activity, and unpredictable random effects. The trader must learn coeffi…
Study optimal investment decisions for diverse risk-tolerant agents.
A framework for cost of belief revision in uncertain agents.
This paper introduces new risk measures for evaluating losses with varying time horizons.
The paper develops robust risk measures for uncertain loss positions.
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome for the so-called optimized certainty equivalent risk measure (OCE) -- including t…
This paper tackles adaptive control of unknown Markov jump systems with sample complexity and regret bounds.
FedAUX improves Federated Learning by better using unlabeled data.
We propose directed time series regression, a new approach to estimating parameters of time-series models for use in certainty equivalent model predictive control. The approach combines merits of least squares regression and empirical optimization. Through a computational study involving a stochastic version of a well …
Improves policies with high certainty, even in small samples.
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo algorithm to incorporate switching costs, corresponding to transaction costs and t…
Submodularity is studied for convex risk measures, including Expected Shortfall.
New bounds for adaptive control in high dimensions without fixed state space.
This paper shows CEM is a special case of TTM, leading to new proofs and improved sample complexity bounds.
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk measures and average value at risk. In this work we consider stochastic optimal control…
We evaluated the effectiveness of an automated bird sound identification system in a situation that emulates a realistic, typical application. We trained classification algorithms on a crowd-sourced collection of bird audio recording data and restricted our training methods to be completely free of manual intervention.…
New methods reduce constraint violations to certainty in stochastic optimization.
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not kn…
We consider the optimal investment problem when the traded asset may default, causing a jump in its price. For an investor with constant absolute risk aversion, we compute indifference prices for defaultable bonds, as well as a price for dynamic protection against default. For the latter problem, our work complements S…
The entropy models have been recently adopted in many studies to evaluate the distribution of the shear stress in circular channels. However, the uncertainty in their predictions and their reliability remains an open question. We present a novel method to evaluate the uncertainty of four popular entropy models, includi…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the m…