10 problems

Generalization to $\phi$-divergences. The arguments developed to study higher moment measures should generalize to arbitrary $\phi$-divergences.

The paper considers a parametric model for real stock and bond indices and tests optimal feedback strategies under calibrated parameters using bootstrap-resampled historical data.…

Diversification-penalty conjecture. The same inequality should hold for any such generalized Pareto losses with possibly different shape parameters:

Let $\|\cdot\|_{\mathcal{R}_1}$ and $\|\cdot\|_{\mathcal{R}_2}$ be positive translation equivariant ri norms with Kusuoka sets $\mathcal{Z}_1$ and $\mathcal{Z}_2$, and let … The PT…

Systemic VaR–ES conjecture. The pair

Risk forms are functionals of a function on a space and an underlying probability measure; in the broader setting of unbounded functions, both the function domain and the admissibl…

Consider a Markovian claim $X=X^y$ driven by a jump diffusion $Y$, with drift $b$, volatility $sigma$, jump coefficients $gamma^{(i)}$, compensator measures $nu^i$, running loss…

An optimized certainty equivalent (OCE) is a risk measure of the form induced by a loss function $l$ through the OCE construction considered in the paper. Scalar perturbations are…

Let $V$ denote the value function associated with conditional value-at-risk and its HJB equation, as in the preceding representation. Separation of variables refers to solving this…

Let $\rho_{OCE}^{s}$ be the true optimized certainty equivalent risk measure, let $\rho_{Spec}$ be the reference spectral risk measure, and let $\rho_{IC}^{s}$ be the imputed risk…