8 papers
Naive Diversification Preferences and their Representation
Enrico G. De Giorgi, Ola Mahmoud
A widely applied diversification paradigm is the naive diversification choice heuristic. It stipulates that an economic agent allocates equal decision weights to given choice alter…
Diversification Preferences in the Theory of Choice
Enrico G. De Giorgi, Ola Mahmoud
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex comb…
The Temporal Dimension of Risk
Ola Mahmoud
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been…
Drawdown: From Practice to Theory and Back Again
Lisa R. Goldberg, Ola Mahmoud
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed…
Functorial Semantics of Second-Order Algebraic Theories
Marcelo Fiore, Ola Mahmoud
The purpose of this work is to complete the algebraic foundations of second-order languages from the viewpoint of categorical algebra as developed by Lawvere. To this end, this pap…
Second-Order Algebraic Theories
Marcelo Fiore, Ola Mahmoud
Fiore and Hur recently introduced a conservative extension of universal algebra and equational logic from first to second order. Second-order universal algebra and second-order equ…