15 citations · 54 across the 23 of their papers we have counts for
4 papers · 1 filter
Existence of bounded solutions to multiplicative Poisson equations under mixing property
Marcin Pitera, Łukasz Stettner
In this paper we study the problem of Multiplicative Poisson Equation (MPE) bounded solution existence in the generic discrete-time setting. Assuming mixing and boundedness of the…
A note on conditional covariance matrices for elliptical distributions
Piotr Jaworski, Marcin Pitera
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the va…
The 20-60-20 Rule
Piotr Jaworski, Marcin Pitera
In this paper we discuss an empirical phenomena known as the 20-60-20 rule. It says that if we split the population into three groups, according to some arbitrary benchmark criteri…
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The…