arXiv research

Investigates VaR behavior for sums of one-sided random variables, showing impossibilities and conditions for super-additivity.

A new framework improves VaR recalibration by balancing reliance on imperfect volatility proxies.

This paper improves risk control for financial markets by calibrating VaR forecasts using conformal methods.

In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional Value-at-Risk (CVaR) is a popular risk measure for modeling the aforementioned objec…

We define a notion of Hempel distance for one-sided Heegaard splittings and show that the existence of alternate surfaces restricts distance for one-sided splittings in a manner similar to Hartshorn's and Scharlemann-Tomova's results for two-sided splittings. We also show that every geometrically compressible one-sided…

When a Dehn filled link manifold contains a geometrically incompressible one-sided surface, it is shown there is a unique boundary incompressible position that the surface can take in the link space. The proof uses a version of the sweep-out technique from two-sided Heegaard splitting theory. When applied to one-sided …

In this paper we prove an extrinsic one-sided curvature estimate for disks embedded in $\mathbb{R}^3$ with constant mean curvature which is independent of the value of the constant mean curvature. We apply this extrinsic one-sided curvature estimate in [24] to prove to prove a weak chord arc type result for these disks…

In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution of the underlying asset returns is fully known. In practice, both the performance…

Using basic properties of one-sided Heegaard splittings, a direct proof that geometrically compressible one-sided splittings of RP^3 are stabilised is given. The argument is modelled on that used by Waldhausen to show that two-sided splittings of S^3 are standard.

The stability and the index of complete one-sided minimal surfaces of certain three-dimensional Riemannian manifolds with positive scalar curvature are studied.

Adam-type optimizers show one-sided convergence in GAN training, not reaching critical points.

In the closed, non-Haken, hyperbolic class of examples generated by (2p,q) Dehn fillings of Figure 8 knot space, the geometrically incompressible one-sided surfaces are identified by the filling ratio p/q and determined to be unique in all cases. When applied to one-sided Heegaard splittings, this can be used to classi…

New method recalibrates VaR for option books, reducing forecast errors.

Various structural properties are developed for non-orientable surfaces in link spaces. The Möbius band tree is described to represent genus growth of one-sided surfaces in solid tori. The structure of the Tree allows various insights into the change of genus under boundary slope, which are not possible using the exist…

This paper estimates VaR for corn and soybean markets using jump processes.

We extend the results of Hardt and Simon on area-minimizing cones to prove that isolated singularities of stationary one-sided area-minimizing hypersurfaces can be locally perturbed away on the side that they are minimizing.

The paper proposes a new portfolio optimization model that includes VaR risk measure.

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach are particularly recommended. This study introduces yet another VaR predictor, …

Study improves dividend discount model using VAR process.

This paper compares VaR estimation methods under tail misspecification, finding importance sampling underestimates VaR.

Study non-orientable surfaces to find loops winding around punctures.

Paper proposes a new sparsity scheme for high-dimensional VAR models.

This thesis examines the accuracy of scaling VaR estimates for longer holding periods.

Linear attention in Transformers can be interpreted as dynamic VAR models.

We give a sufficient and necessary condition of the fundamental group homomorphism of a map between manifolds to induce homology equivalences. Moreover, a classification of one-sided h-cobordism of manifolds up to diffeomorphisms is obtained, based on Quillen's plus construction with Whitehead torsions.

Left orderability proven for certain 3-manifolds with specific foliations.

Investment strategy for DC pension plan with inflation risk and tail VaR constraint.

A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve several problems of the VaR. In this paper we propose three nonparametric backtestin…

This dissertation investigates the use of one-sided classification algorithms in the application of separating hazardous chlorinated solvents from other materials, based on their Raman spectra. The experimentation is carried out using a new one-sided classification toolkit that was designed and developed from the groun…

A new method for selective classification trades off accuracy for coverage.

VaR-CPO optimizes VaR-constrained RL problems with conservative policy updates.

Pricing and hedging rainbow options using Bayesian MS-VAR process.

Paper investigates Lambda Value-at-Risk under ambiguity and risk sharing.

Study one-sided matrix completion with two observations per row.

The study challenges the reliability of VaR due to market randomness.

Study uses copulas and DCC-GARCH for multivariate risk analysis of VaR and CVaR.

Introduces Lambda Expected Shortfall as a risk measure generalizing ES.

Bayesian approach improves portfolio optimization using VaR and CVaR.

New method uses G-expectation for financial risk measurement.

Paper proposes a copula method to generate unfavorable VaR scenarios.

Bayesian VAR model discovers Granger causality with uncertainty-aware binary graphs.

We derive some results on contrarian and one-sided strategies by Skeptic for the fair-coin game in the framework of the game-theoretic probability of Shafer and Vovk \cite{sv}. In particular, concerning the rate of convergence of the strong law of large numbers (SLLN), we prove that Skeptic can force that the convergen…

New property shows VaR subadditivity for comonotonic loss variables.

In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate di…

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that implied correlation is not constant but tends to be higher for events i…

Online learning with one-sided feedback aims to maximize accuracy while ensuring fairness.

We prove that there is a true asymptotic formula for the number of one sided simple closed curves of length $\leq L$ on any Fuchsian real projective plane with three points removed. The exponent of growth is independent of the hyperbolic structure, and it is noninteger, in contrast to counting results of Mirzakhani for…

Study bounds VAR model's circuit complexity, showing it's limited to TC^0 circuits.