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299 records
- On the Expected Maximum Deficit and the Optimal Allocation of Reserves
- Regret Equals Covariance: A Closed-Form Characterization for Stochastic Optimization
- Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
- Higher-Order Neyman Orthogonality in Moment-Condition Models
- Aggregating Elo Ratings: An Axiomatization
- Nonparametric Empirical Bayes Confidence Intervals
- Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning
- Automation, Income Incidence, and Capital Accumulation in Incomplete Markets
- An Axiomatic Foundation for Decisions with Counterfactual Utility
- Equilibrium Stability and Uniqueness with a Large Number of Commodities and Patient Consumers
- Estimation and Inference for the $τ$-Quantile of Individual Heterogeneous Coefficient
- Fast Monte-Carlo
- Martingale Cohomology, Holonomy, and Homological Arbitrage
- Penalized Likelihood for Dyadic Network Formation Models with Degree Heterogeneity
- Principal-agent problems with adverse selection: A stochastic target problem formulation
- American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs
- Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
- Optimal incentive scheme for ESG disclosure
- Inference for Linear Systems with Unknown Coefficients
- Rigidity and default in production networks
- Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
- Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
- Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
- Risk-Sensitive Investment Management via Free Energy-Entropy Duality
- Balanced Contributions in Networks and Games with Externalities
- Higher-order ATM asymptotics for the CGMY model via the characteristic function
- Generalized Autoregressive Multivariate Models: From Binary to Poisson
- Average Marginal Effects in One-Step Partially Linear Instrumental Regressions
- Aharanov-Bohm Type Arbitrage and Homological Obstructions in Financial Markets
- Maximum score and non-smooth M-estimators with multiway dependence
- Exploring Drivers of Extreme Housing Prices in Australia
- Systemic Risk and Default Cascades in Global Equity Markets: A Network and Tail-Risk Approach Based on the Gai Kapadia Framework
- Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
- $α$-robust utility maximization with intractable claims: A quantile optimization approach
- Ranking Metrics: Extending Acceptability and Performance Indexes
- Robust Priors in Nonlinear Panel Models with Individual and Time Effects
- Reinforcement Learning for Speculative Trading under Exploratory Framework
- What aggregation rules can be classified as logical concepts?
- Stochastic Policy Gradient Methods in the Uncertain Volatility Model
- STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing
- Ordering results for extreme claim amounts based on random number of claims
- Adversarial Selection
- Refined Cluster Robust Inference
- Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
- Triple/Double-Debiased Lasso
- Robust quasi-convex risk measures and applications
- Short-horizon Duesenberry Equilibrium
- At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
- Some general results on risk budgeting portfolios
- Bid--Ask Martingale Optimal Transport