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q-fin.RM2020
Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
Sojung Kim, Stefan Weber
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute…
q-fin.RM2020
Market Efficient Portfolios in a Systemic Economy
Kerstin Awiszus, Agostino Capponi, Stefan Weber
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective.…