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We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...
Machine learning is most often cast as an optimization problem. Ideally, one expects a convex objective function to rely on efficient convex optimizers with nice guarantees such as no local optima. Yet, non-convexity is very frequent in practice and it may ...
In this paper we find properties that are shared between two seemingly unrelated lossy source coding setups with side-information. The first setup is when the source and side-information are jointly Gaussian and the distortion measure is quadratic. The sec ...
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We present and compare two different approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis wher ...
We study continuity properties of law-invariant (quasi-)convex functions f : L1(Ω,F, P) to ( ∞,∞] over a non-atomic probability space (Ω,F, P) .This is a supplementary note to [12] ...
In this paper we find properties that are shared between two seemingly unrelated lossy source coding setups with side information. The first setup is when the source and side information are jointly Gaussian and the distortion measure is quadratic. The sec ...
We discuss a recent theoretical approach combining catchment-scale flow and transport processes into a unified framework. The approach is designed to characterize the hydrochemistry of hydrologic systems and to meet the challenges posed by empirical eviden ...
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the ori ...
We investigate routing policies for shortest path problems with uncertain arc lengths. The objective is to minimize a risk measure of the total travel time. We use the conditional value-at-risk (CVaR) for when the arc lengths (durations) have known distrib ...
The probability density functions (pdf's) of travel and residence times are key descriptors of the mechanisms through which catchments retain and release old and event water, transporting solutes to receiving water bodies. In this paper we analyze theoreti ...