1,720,972 research outputs found
A Tikhonov Theorem for McKean–Vlasov Two-Scale Systems and a New Application to Mean Field Optimal Control Problems
Full text linkAdjusted Expected Shortfall
Full text linkWe introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial position X to ensure that Expected Shortfall ESp (X) does not exceed a pre-specified threshold g(p) for every probability level p is an element of [0, 1]. Through the choice of the benchmark risk profile gone can tailor the risk assessment to the specific application of interest. We devote special attention to the study of risk profiles defined by the Expected Shortfall of a benchmark random loss, in which case our risk measures are intimately linked to second-order stochastic dominance
Risk Measures Based on Benchmark Loss Distributions
Full text linkWe introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key ingredient is a benchmark loss distribution (BLD), that is, a function that associates to each potential loss a maximal acceptable probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that is required to align the loss distribution of a risky position to the target BLD. By design, one has full flexibility in the choice of the BLD profile and, therefore, in the range of relevant quantiles. Special attention is given to piecewise constant functions and to tail distributions of benchmark random losses, in which case the acceptability condition imposed by the BLD boils down to first-order stochastic dominance. We investigate the main theoretical properties of LVaR with a focus on their comparison with VaR and ES and discuss applications to capital adequacy, portfolio risk management, and catastrophic risk
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
A MODEL-FREE ANALYSIS OF DISCRETE TIME FINANCIAL MARKETS
Full text linkWe discuss fundamental questions of Mathematical Finance such as arbitrage and hedging in the context of a discrete time market with no reference probability. We show how different notions of arbitrage can be studied under the same general framework by specifying a class S of significant sets, and we investigate the richness of the family of martingale measures in relation to the choice of S. We also provide a superhedging duality theorem. We show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and observe how this is related to no-arbitrage considerations. We finally consider the extension of the previous results to markets with frictions
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Mean field games with absorption and common noise with a model of bank run
Full text linkWe consider a mean field game describing the limit of a stochastic
differential game of -players whose state dynamics are subject to
idiosyncratic and common noise and that can be absorbed when they hit a
prescribed region of the state space. We provide a general result for the
existence of weak mean field equilibria which, due to the absorption and the
common noise, are given by random flow of sub-probabilities. We first use a
fixed point argument to find solutions to the mean field problem in a reduced
setting resulting from a discretization procedure and then we prove convergence
of such equilibria to the desired solution. We exploit these ideas also to
construct -Nash equilibria for the -player game. Since the
approximation is two-fold, one given by the mean field limit and one given by
the discretization, some suitable convergence results are needed. We also
introduce and discuss a novel model of bank run that can be studied within this
framework
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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