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.
In this study, we proposed a convolutional neural network model for gender prediction using English Twitter text as input. Ensemble of proposed model achieved an accuracy at 0.8237 on gender prediction and compared favorably with the state-of-the-art performance in a recent author profiling task. We further leveraged t…
Personalized cancer vaccines are envisioned as the next generation rational cancer immunotherapy. The key step in developing personalized therapeutic cancer vaccines is to identify tumor-specific neoantigens that are on the surface of tumor cells. A promising method for this is through de novo peptide sequencing from m…
The paper optimizes DIA purchase policies using lifecycle models and asset allocation.
problem Determining the optimal allocation to Deferred Income Annuities (DIAs).
method Employed a lifecycle model with utility of consumption and bequest, formalized optimization process, analyzed results, and extended model to include asset allocation.
result Optimal DIA allocation varies based on refundability, asset allocation, and perceived longevity.
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions for the existence of optimal and asymptotic optimal allocations. We will show th…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement framework. We introduce the notation of suitability of allocations for performance me…
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, received a lot of attention. In this framework, capital allocations are added after aggregation and can…
We study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuous-valued allocations are allowed. We also propose a modification for the case when only integer-valued allocations are possible. We extend the previous work on this problem to adversarial sce…
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches…
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular focus on expected shortfall. We introduce the concept of fair capital…
Optimal resource allocation is a fundamental challenge for dense and heterogeneous wireless networks with massive wireless connections. Because of the non-convex nature of the optimization problem, it is computationally demanding to obtain the optimal resource allocation. Recently, deep reinforcement learning (DRL) has…
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two computationally efficient allocation methods which are weighted according to liquidity horizon. Both methods provide more stable and less negativ…
The paper evaluates index-based allocation policies using data from randomized control trials.
problem Evaluating index-based allocation policies in resource-scarce scenarios.
method Using data from randomized control trials, the paper introduces an efficient estimator and methods for computing asymptotically correct confidence intervals.
result Valid statistical conclusions can be drawn for index-based allocation policies.