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Portfolio Optimization with Entropic Value-at-Risk. (arXiv:1708.05713v1 [q-fin.PM])

August 21, 2017 by Quantitative Finance at arXiv   Comments (0)

The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an
upper bound for both the value-at-risk (VaR) and conditional value-at-risk
(CVaR). As important properties, the EVaR is strongly monotone over its domain
and strictly monotone over a broad sub-domain including all continuous
distributions, while well-known monotone risk measures, such as VaR and CVaR
lack these properties. A key feature for a risk measure, besides its financial
properties, is its applicability in...

BSDEs with weak reflections and partial hedging of American options. (arXiv:1708.05957v1 [math.OC])

August 21, 2017 by Quantitative Finance at arXiv   Comments (0)

We introduce a new class of \textit{Backward Stochastic Differential
Equations with weak reflections} whose solution $(Y,Z)$ satisfies the weak
constraint $\textbf{E}[\Psi(\theta,Y_\theta)] \geq m,$ for all stopping time
$\theta$ taking values between $0$ and a terminal time $T$, where $\Psi$ is a
random non-decreasing map and $m$ a given threshold. We study the wellposedness
of such equations and show that the family of minimal time $t$-values $Y_t$ can
be aggregated by a right-continuous...

Economic Design of Memory-Type Control Charts: The Fallacy of the Formula Proposed by Lorenzen and Vance (1986). (arXiv:1708.06160v1 [stat.AP])

August 21, 2017 by Quantitative Finance at arXiv   Comments (0)

The memory-type control charts, such as EWMA and CUSUM, are powerful tools
for detecting small quality changes in univariate and multivariate processes.
Many papers on economic design of these control charts use the formula proposed
by Lorenzen and Vance (1986) [Lorenzen, T. J., & Vance, L. C. (1986). The
economic design of control charts: A unified approach. Technometrics, 28(1),
3-10, DOI: 10.2307/1269598]. This paper shows that this formula is not correct
for memory-type control charts...

Fake News in Social Networks. (arXiv:1708.06233v1 [cs.AI])

August 21, 2017 by Quantitative Finance at arXiv   Comments (0)

We model the spread of news as a social learning game on a network. Agents
can either endorse or oppose a claim made in a piece of news, which itself may
be either true or false. Agents base their decision on a private signal and
their neighbors' past actions. Given these inputs, agents follow strategies
derived via multi-agent deep reinforcement learning and receive utility from
acting in accordance with the veracity of claims. Our framework yields
strategies with agent utility close to a...

Quantum Barro--Gordon Game in Monetary Economics. (arXiv:1708.05689v1 [q-fin.EC])

August 20, 2017 by Quantitative Finance at arXiv   Comments (0)

Classical game theory addresses decision problems in multi-agent environment
where one rational agent's decision affects other agents' payoffs. Game theory
has widespread application in economic, social and biological sciences. In
recent years quantum versions of classical games have been proposed and
studied. In this paper, we consider a quantum version of the classical
Barro-Gordon game which captures the problem of time inconsistency in monetary
economics. Such time inconsistency refers to...

How to Set Up Your Own Bitcoin/Ethereum IRA

August 20, 2017 by Falkenblog   Comments (0)

For the past couple of centuries technology empowered the state, put more things under its control. They have ultimate custody of all your financial assets, and custody is nine-tenths of the law. You simply can't hold $1M in financial assets in a form where 'The Man' can't grab it if he finds you an enemy of the state, which in many states includes righteous men.But like so many things the effect is not linear, in that now technology is putting power back in individuals. We can now...

What we get wrong about technology

August 20, 2017 by Complexity Digest   Comments (0)

Blade Runner (1982) is a magnificent film, but there’s something odd about it. The heroine, Rachael, seems to be a beautiful young woman. In reality, she’s a piece of technology — an organic robot designed by the Tyrell Corporation. She has a lifelike mind, imbued with memories extracted from a human being.  So sophisticated is Rachael that she is impossible to distinguish from a human without specialised equipment; she even believes herself to be human. Los Angeles...

Social influence on 5-year survival in a longitudinal chemotherapy ward co-presence network

August 19, 2017 by Complexity Digest   Comments (0)

Chemotherapy is often administered in openly designed hospital wards, where the possibility of patient–patient social influence on health exists. Previous research found that social relationships influence cancer patient’s health; however, we have yet to understand social influence among patients receiving chemotherapy in the hospital. We investigate the influence of co-presence in a chemotherapy ward. We use data on 4,691 cancer patients undergoing chemotherapy in Oxfordshire,...