This paper optimizes portfolio rebalancing under uncertain security returns using meta-heuristic algorithms.
problem Optimizing portfolio rebalancing under uncertain security returns with transaction costs.
method Meta-heuristic algorithms (genetic algorithm) for solving the portfolio rebalancing problem.
result Meta-heuristic algorithms provide better results than global optimization solvers for portfolio rebalancing under uncertainty.
Study a game for pricing options with uncertain asset returns.
problem Pricing options on assets with unknown return rates.
method Reduction to a Dynkin game on a bi-dimensional diffusion, use filtering techniques.
result Existence of Nash equilibrium in pure strategies for stopping times.
The paper addresses portfolio allocation with uncertain covariance matrices, finding a logarithmic risk dependence.
problem Portfolio allocation with uncertain covariance matrices.
method Calculates the expected value of CARA utility function over a distribution of covariance matrices, considering uncertainty in future returns and covariances.
result Marginalization introduces a logarithmic dependence on risk, leading to lower allocation levels for higher uncertainties.
The paper tackles exploration in reinforcement learning by accounting for two types of uncertainty.
problem Directed exploration for reinforcement learning agents with two sources of uncertainty.
method The approach involves learning parametric and return uncertainty with deep neural networks and estimating them in a Double Uncertain Value Network.
result The policy is derived from learned distributions based on Thompson sampling, showing improvement in domains with strong exploration challenges.
In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relation. Based on the satisfaction index, we propose an approach to reduce the interval programming problem with uncertain objective and constraints …
This study investigates how Decision-Focused Learning improves stock return predictions for better portfolio optimization.
problem The challenge of precise expected returns estimation in mean-variance optimization.
method Investigates Decision-Focused Learning (DFL) to adjust stock return prediction models for MVO.
result DFL tilts prediction errors by the inverse covariance matrix, leading to systematic prediction biases in portfolio optimization.
Investors' models of future returns are uncertain and interrelated.
problem Uncertainty in investors' models of future returns.
method Demonstrates reducing uncertainty by incorporating relations among competing models.
result Uncertainty in investors' models of future returns can be reduced.
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this efficient frontier which optimally balances her desire for excess expected return …
Geometrically convex return risk measures on AM-algebras
problem Quantifying risk in time series analysis
method Extending return risk measures to general ordered vector spaces
result Establishing results on finiteness, continuity, separability, and dual and aggregation-based representations
Bayesian method improves portfolio selection by updating expected returns.
problem Optimizing portfolio selection with unknown expected returns.
method Bayesian filtering and dynamic programming for learning posterior distribution.
result Explicit optimal strategy computed for Gaussian prior, quantifying learning impact.
Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of extreme agricultural financial risk for corn and soybean production in the US: Value …
This study examines how political uncertainty affects U.S. stock markets, finding mixed results.
problem The impact of political uncertainty on U.S. stock markets during presidential election periods.
method Event-study methodology examining abnormal return behavior around election dates.
result Positive abnormal returns were found following election results, contradicting the uncertain information hypothesis.
Paper optimizes financial trading strategies under uncertain market conditions.
problem Guaranteeing robust positive expected profits in financial systems.
method Transformed semi-infinite constraints into structured policies and proposed a novel graphical approach.
result Demonstrated superior risk-adjusted returns and downside risk compared to conventional strategies.
This paper analyzes the robust growth rate of leveraged ETFs under uncertain parameters.
problem Analyzing the robust long-term growth rate of leveraged ETFs with uncertain parameters.
method Derive worst-case parameters using comparison principle and martingale extraction method.
result Explicitly obtain robust long-term growth rates under various models.
Robust optimization improves portfolio selection by accounting for deep uncertainties.
problem Managing deep uncertainties in future asset returns for successful portfolio selection.
method Robust optimization (RO) models incorporating general assumptions on uncertain risk parameters.
result RO models outperform traditional models in comprehensive empirical assessments.
The paper tackles optimal portfolio decisions under uncertain asset returns.
problem Optimal portfolio choice, liquidation, and transition under unknown expected returns.
method Bayesian learning coupled with dynamic programming to solve partial differential equations.
result Recovery of known results and new insights into asset liquidity and uncertainty.
Price and return predictions are limited by economic complexity, not just volatility.
problem Limited accuracy of price and return probability forecasts by Gaussian distributions.
method Analyzes economic reasons behind limitations in predicting price and return statistical moments.
result Predictions of price and return probabilities by Gaussian distributions are inaccurate due to economic complexity.
Research improves fraud detection in e-commerce by predicting delayed transaction data.
problem Accurate fraud detection in e-commerce transactions with delayed labels.
method Developed two frameworks, CEI and FEI, to estimate decision environment features using mature and partially mature data.
result Proposed frameworks significantly improved fraud detection accuracy.
Study improves portfolio optimization for Indonesian banks using robust methods.
problem Uncertainty in historical return and risk estimates leads to suboptimal portfolios.
method Robust optimization with moving-window and bootstrapping methods.
result Moving-window method with smaller risk-aversion parameter provides better risk-return trade-off.
A new method sorts projects using Quicksort and Bradley-Terry model for uncertain long-term benefits.
problem Selecting projects with uncertain long-term benefits.
method Combining Quicksort and Bradley-Terry model for ranking projects based on uncertain long-term benefits.
result Proposed methods outperform existing aggregation methods and can be combined with sampling techniques.
Study shows SEC crypto classification led to significant market reactions.
problem Impact of SEC classification of crypto assets as securities.
method Event study methodology focusing on explicitly named crypto assets.
result Significant adverse market reactions, with returns plummeting 12% over one week.
Develops a framework for quantifying agentic AI model risk using LLM-inferred Bayesian state filters.
problem Quantifying the risk of agentic AI systems due to uncertain beliefs and actions.
method Representing the system as a partially observed Markov decision process with latent states, Bayesian belief updates, control-dependent losses, and tail-risk functionals.
result Develops a rigorous framework for separating uncertainty quantification from risk measurement.
Improves prediction accuracy in document classification by measuring uncertainty.
problem Ensuring limited human resources focus on uncertain predictions in text classification.
method Proposes a neural-network-based model using dropout-entropy for uncertainty measurement and metric learning on feature representations.
result Significant improvement in overall prediction accuracy, from 0.78 to 0.92, when 30% of most uncertain predictions are handed over to human experts.
The paper models reverse logistics network design considering product uncertainty and risk.
problem Maximizing profits from returned products of uncertain quality and quantity.
method Mixed Integer Non-linear Programming (MINLP) model with CVaR risk measure.
result Considering risk improves profits by more conservatively pricing and sorting products.
Paper values equity warrants using uncertain calculus.
problem Valuing equity warrants in uncertain financial markets.
method Used uncertain calculus to solve equity warrants pricing problem.
result Equation for equity warrants pricing derived for uncertain stock model.
Bayesian method improves portfolio selection under uncertain parameters.
problem Optimal portfolio choice with unknown asset return parameters.
method Bayesian posterior predictive distribution for optimization.
result Bayesian approach yields better portfolio predictions and returns.
The paper explores how to handle uncertain evidence in probabilistic models.
problem Handling uncertain evidence in probabilistic models and stochastic simulators.
method The paper considers distributional evidence, Jeffrey's rule, and virtual evidence as methods for interpreting uncertain evidence.
result The paper provides guidelines on how to account for uncertain evidence and highlights the importance of careful consideration.
New method calculates Shapley values for uncertain functions.
problem Uncertain value functions in explainable machine learning.
method Definition of Shapley values using probability theory.
result Shapley values can be applied to uncertain functions.
Market inefficiencies arise from density-dependent returns in a noisy environment.
problem Market inefficiencies and excess volatility.
method Developed a market model using ecological concepts.
result Market dynamics are density-dependent, leading to inefficiencies.
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied probability distributions. We argue that volatility is not risk, but uncertaint…
Quantum methods model uncertain volatility in financial markets.
problem Modeling financial asset prices with uncertain volatility.
method Quantum stochastic calculus with unitary and non-unitary time evolution.
result Different volatility levels encoded in quantum states, leading to varied market price evolutions.
The target of this paper is to consider model the risky asset price on the financial market under the Knightian uncertainty, and pricing the ask and bid prices of the uncertain risk. We use the nonlinear analysis tool, i.e., G-frame work [26], to construct the model of the risky asset price and bid-ask pricing for the …
New model predicts dynamic volatility in uncertain financial markets.
problem Predicting dynamic volatility in financial markets with uncertainty.
method Generalized Barndorff-Nielsen and Shephard (BN-S) model considering delay and fuzziness.
result Effective prediction of dynamic volatility with improved performance.
The paper examines Indian market bubbles using financial ratios.
problem Detecting bubbles in emerging markets like India is challenging.
method Utilizes financial ratios and the Philips et al 2015 right-tailed unit test.
result Identifies various bubble episodes in the Indian market.
The study reveals gold's effectiveness as a hedge and safe haven varies with uncertainty levels.
problem Gold's role as a hedge and safe haven is not constant and depends on uncertainty levels.
method Quantile-on-quantile regression and dynamic factor model to analyze gold returns and uncertainty.
result Gold returns positively and strongly with high uncertainty, suggesting it can be a protective asset.
Study calculates Bayes risk for semi-supervised learning with uncertain labels.
problem Uncertain labeling in semi-supervised classification.
method Gaussian mixture model, Bayes risk computation, comparison with algorithm performance.
result New insights into semi-supervised learning algorithm performance.
Study Asian option pricing under uncertain volatility, approximating prices with small volatility intervals.
problem Asian option pricing in uncertain volatility conditions.
method Procedure to approximate Asian option prices with small volatility intervals, solving fully nonlinear PDE.
result Approximation method for solving fully nonlinear PDE.
Study optimal strategies under uncertain market parameters and borrowing costs.
problem Optimal portfolio-consumption strategies in uncertain markets.
method Robust utility maximization framework with explicit solutions.
result Impacts of uncertain parameters, constraints, and borrowing costs quantified.
New algorithm for uncertain time series classification.
problem Uncertainty in time series data.
method Uncertain dissimilarity measure based on Euclidean distance and uncertain shapelet transform.
result Effectiveness of the uncertain shapelet transform algorithm on state-of-the-art datasets.
New algorithm for reinforcement learning in uncertain environments with unknown thresholds.
problem Safety in reinforcement learning in unknown and uncertain environments.
method Growing-Window estimator sampling and Stochastic Pessimistic-Optimistic Thresholding (SPOT) algorithm.
result Achieves sublinear regret and constraint violation of i l d e O ( T ) ilde{\mathcal{O}}(\sqrt{T}) i l d e O ( T ) . Proposes uncertain volatility models with fluctuating stochastic bounds for improved accuracy.
problem Improving accuracy in modeling volatility with fluctuating bounds.
method Introduces stochastic bounds that fluctuate according to a stochastic volatility process, applying perturbation analysis to reduce complexity.
result The method provides a significant computational advantage and performs well even with moderately slow varying bounds.
New method solves uncertain control problems with model uncertainty.
problem Solving uncertain stochastic Markovian control problems in discrete time.
method Adaptive robust control approach using Bellman equation and recursive confidence regions.
result Success of the approach demonstrated through optimal portfolio allocation problem.
A method for accurate pricing of multidimensional derivatives under uncertain volatility.
problem High-dimensional stochastic control problem in uncertain volatility model.
method Backward actor-critic stochastic policy gradient scheme combining DP, PPO, and neural networks.
result Accurate and efficient pricing of multidimensional derivatives compared to benchmarks.
Bayesian optimisation tackles uncertain inputs in noisy function evaluations.
problem Optimizing functions with uncertain query locations and noisy outcomes.
method Proposes a UCB algorithm for BO with uncertain inputs, using Gaussian process models.
result Theoretical and experimental results show the proposed algorithm outperforms conventional methods.
Bayesian Gaussian process models handle uncertain data locations in PDE approximations.
problem Handling uncertainties in data locations for PDE approximations.
method Bayesian inference of uncertain inputs integrated into Gaussian process predictions.
result Substantial reduction in predictive uncertainties achieved through Bayesian inference.
Paper proposes a transfer learning method for learning with label proportions that handles uncertain data.
problem Learning with label proportions (LLP) for uncertain data.
method Transfer learning approach to transfer knowledge from source to target tasks with uncertain data.
result The proposed TL-LLP method achieves better accuracy and is less sensitive to noise.
Framework for games with uncertain parameters, ensuring no player can improve by changing strategy.
problem Non-cooperative games with globally uncertain parameters and no common prior.
method Mixed strategies and subjective priors, Extended Equilibrium defined by fixed-point argument.
result Existence of Extended Equilibrium under certain conditions.
GWINs improve classifier accuracy by translating uncertain observations.
problem Improving accuracy of uncertain observations in classifiers.
method Generative network recovers correct observation distributions, reject option allows for uncertain predictions.
result GWINs significantly improve classifier accuracy on benchmark datasets.