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Fairness risk measures
Ensuring that classifiers are non-discriminatory or fair with respect to a sensitive feature (eg,
race or gender) is a topical problem. Progress in this task requires fixing a definition of …
race or gender) is a topical problem. Progress in this task requires fixing a definition of …
Efficiency in pure-exchange economies with risk-averse monetary utilities
We study Pareto efficiency in a pure-exchange economy where agents' preferences are
represented by risk-averse monetary utilities. These coincide with law-invariant monetary …
represented by risk-averse monetary utilities. These coincide with law-invariant monetary …
Law-invariant functionals on general spaces of random variables
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous,
and law-invariant functionals. Our results extend well-known results from the literature to a …
and law-invariant functionals. Our results extend well-known results from the literature to a …
Inverse portfolio problem with mean-deviation model
A Markowitz-type portfolio selection problem is to minimize a deviation measure of portfolio
rate of return subject to constraints on portfolio budget and on desired expected return. In …
rate of return subject to constraints on portfolio budget and on desired expected return. In …
Kusuoka representations of coherent risk measures in general probability spaces
Kusuoka representations provide an important and useful characterization of law invariant
coherent risk measures in atomless probability spaces. However, the applicability of these …
coherent risk measures in atomless probability spaces. However, the applicability of these …
Sensitivity analysis in applications with deviation, risk, regret, and error measures
The envelope formula is obtained for optimization problems with positively homogeneous
convex functionals defined on a space of random variables. Those problems include linear …
convex functionals defined on a space of random variables. Those problems include linear …
The center of a convex set and capital allocation
A capital allocation scheme for a company that has a random total profit Y and uses a
coherent risk measure ρ has been suggested. The scheme returns a unique real number Λ …
coherent risk measure ρ has been suggested. The scheme returns a unique real number Λ …
Benchmark-based deviation and drawdown measures in portfolio optimization
Understanding and modeling of agent's risk/reward preferences is a central problem in
various applications of risk management including investment science and portfolio theory in …
various applications of risk management including investment science and portfolio theory in …
[PDF][PDF] On certain Schur-convex functions
1. Introduction Page 1 ON CERTAIN SCHUR-CONVEX FUNCTIONS DEDICATED TO THE
60TH BIRTHDAY OF PROFESSOR ZSOLT PÁLES PÁL BURAI AND JUDIT MAKÓ Abstract …
60TH BIRTHDAY OF PROFESSOR ZSOLT PÁLES PÁL BURAI AND JUDIT MAKÓ Abstract …
Uniqueness of Kusuoka representations
This paper addresses law invariant coherent risk measures and their Kusuoka
representations. By elaborating the existence of a minimal representation we show that …
representations. By elaborating the existence of a minimal representation we show that …