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q-fin.RM2025
Coherent estimation of risk measures
Martin Aichele, Igor Cialenco, Damian Jelito +1
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the ec…
q-fin.PM2025
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
Kewin Pączek, Damian Jelito, Marcin Pitera +1
This paper explores the applications of the 20/60/20 rule-a heuristic method that segments data into top-performing, average-performing, and underperforming groups-in mathematical…