42 citations · 46 across the 13 of their papers we have counts for
14 papers
Preference robust distortion risk measures
Carole Bernard, Silvana M. Pesenti
We introduce a framework for preference-robust decision making when preferences over risk are modelled through generalised distortion risk measures. Unlike distributional robustnes…
Coskewness under dependence uncertainty
Carole Bernard, Jinghui Chen, Ludger Ruschendorf +1
We study the impact of dependence uncertainty on the expectation of the product of random variables, when for all~. Under some…
Cost-efficient Payoffs under Model Ambiguity
Carole Bernard, Gero Junike, Thibaut Lux +1
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In…
Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment ho…
Robust Distortion Risk Measures
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper,…
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference
Carole Bernard, Alfred Müller
The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expec…
Bounds on Multi-asset Derivatives via Neural Networks
Luca De Gennaro Aquino, Carole Bernard
Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket opt…
Algorithms for Finding Copulas Minimizing Convex Functions of Sums
Carole Bernard, Don McLeish
We develop improved rearrangement algorithms to find the dependence structure that minimizes a convex function of the sum of dependent variables with given margins. We propose a ne…
Quantile of a Mixture
Carole Bernard, Steven Vanduffel
In this note, we give an explicit expression for the quantile of a mixture of two random variables. We carefully examine all possible cases of discrete and continuous variables wit…
Convergence of the discrete variance swap in time-homogeneous diffusion models
Carole Bernard, Zhenyu Cui, Don McLeish
In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance sw…
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard, Zhenyu Cui, Don McLeish
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. B…
Optimal Payoffs under State-dependent Preferences
Carole Bernard, Franck Moraux, Ludger Rueschendorf +1
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distributi…
Prices and Asymptotics for Discrete Variance Swaps
Carole Bernard, Zhenyu Cui
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochast…
Rationalizing Investors Choice
Carole Bernard, Jit Seng Chen, Steven Vanduffel
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal in…