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The Value of Information in a Sealed Bid Auction.
Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
Degenerate elliptic and parabolic differential operators degenerate diffusion process Feller square root process Feynman-Kac formula
2012/4/28
We prove stochastic representation formulae for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our artic...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...
A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
aggregation of risks Value at Risk dependent risks risk management
2010/11/3
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...