26 citations · 78 across the 21 of their papers we have counts for
23 papers
Bregman Consensus
Andrei N. Soklakov
Consider a community of agents who are seeking consensus on a set of parameters. The agents agree to use the same Bregman-type divergence to quantify disagreement between their ind…
Information Geometry of Risks and Returns
Andrei N. Soklakov
We reveal a geometric structure underlying both hedging and investment products. The structure follows from a simple formula expressing investment risks in terms of returns. This i…
Economics of disagreement -- financial intuition for the Rényi divergence
Andrei N. Soklakov
Disagreement is an essential element of science and life in general. The language of probabilities and statistics is often used to describe disagreements quantitatively. In practic…
Model Risk Analysis via Investment Structuring
Andrei N. Soklakov
"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for bui…
Why Quantitative Structuring?
Andrei N. Soklakov
Quality-designed consumer products are easy to recognize. Wouldn't it be great if the quality of financial products became just as apparent? This paper is addressed to financial pr…
One trade at a time -- unraveling the Equity Premium Puzzle
Andrei N. Soklakov
Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the use of mathematical tools known as financial in…