42 citations · 46 across the 24 of their papers we have counts for
4 papers · 1 filter
Constructing elicitable risk measures
Akif Ince, Marlon Moresco, Ilaria Peri +1
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scor…
Kullback-Leibler Barycentre of Stochastic Processes
Sebastian Jaimungal, Silvana M. Pesenti
We consider the problem where an agent aims to combine the views and insights of different experts' models. Specifically, each expert proposes a diffusion process over a finite tim…
Risk Budgeting Allocation for Dynamic Risk Measures
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito +1
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. F…
Portfolio Optimisation within a Wasserstein Ball
Silvana Pesenti, Sebastian Jaimungal
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an i…