SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES

In this paper, we study how to evaluate the risk of a financial portfolio, whose components may be dependent and come from different markets or involve more than one kind of currencies, while we also take into consideration the uncertainty about the time value of money. Namely, we introduce a new class of risk measures, named set-valued dynamic risk measures for bounded discrete-time processes that are adapted to a given filtration. The time horizon can be finite or infinite. We investigate the representation results for them by making full use of Legendre–Fenchel conjugation theory for set-valued functions. Finally, some examples such as the set-valued dynamic average value at risk and the entropic risk measure for bounded discrete-time processes are also given.

Bootstrapping Average Value at Risk of Single and Collective Risks

Almost sure bootstrap consistency of the blockwise bootstrap for the Average Value at Risk of single risks is established for strictly stationary β -mixing observations. Moreover, almost sure bootstrap consistency of a multiplier bootstrap for the Average Value at Risk of collective risks is established for independent observations. The main results rely on a new functional delta-method for the almost sure bootstrap of uniformly quasi-Hadamard differentiable statistical functionals, to be presented here. The latter seems to be interesting in its own right.

Optimal Intervention in Semi-Markov-Based Asynchronous Probabilistic Boolean Networks

Synchronous probabilistic Boolean networks (PBNs) and generalized asynchronous PBNs have received significant attention over the past decade as a tool for modeling complex genetic regulatory networks. From a biological perspective, the occurrence of interactions among genes, such as transcription, translation, and degradation, may require a few milliseconds or even up to a few seconds. Such a time delay can be best characterized by generalized asynchronous PBNs. This paper attempts to study an optimal control problem in a generalized asynchronous PBN by employing the theory of average value-at-risk (AVaR) for finite horizon semi-Markov decision processes. Specifically, we first formulate a control model for a generalized asynchronous PBN as an AVaR model for finite horizon semi-Markov decision processes and then solve an optimal control problem for minimizing average value-at-risk criterion over a finite horizon. In order to illustrate the validity of our approach, a numerical example is also displayed.

Optimal expected utility risk measures

This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. By taking the investor’s point of view, OEU maximizes the sum of capital available today and the certainty equivalent of capital in the future. To the best of our knowledge, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility functionuhas constant relative risk aversion. We present several different risk measures that can be derived with special choices ofuand illustrate that OEU is more sensitive than value at risk and average value at risk with respect to changes of the probability of a financial loss.

SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES

Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set minimization problems. The dual relationship between these two classes of multivariate risk measures is constructed via a recent Lagrange duality for set optimization. In particular, it is shown that a shortfall risk measure can be written as an intersection over a family of divergence risk measures indexed by a scalarization parameter. Examples include set-valued versions of the entropic risk measure and the average value at risk. As a second step, the minimization of these risk measures subject to trading opportunities is studied in a general convex market in discrete time. The optimal value of the minimization problem, called the market risk measure, is also a set-valued risk measure. A dual representation for the market risk measure that decomposes the effects of the original risk measure and the frictions of the market is proved.