1 citations · 1 across the 10 of their papers we have counts for
12 papers
Superhedging under Proportional Transaction Costs in Continuous Time
Atiqah Almuzaini, Çağın Ararat, Jin Ma
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By re…
Can Nash inform capital requirements? Allocating systemic risk measures
Çağın Ararat, Zachary Feinstein
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the leve…
Systemic values-at-risk and their sample-average approximations
Wissam AlAli, Çağın Ararat
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined…
On the Separability of Vector-Valued Risk Measures
Çağın Ararat, Zachary Feinstein
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk me…
Set-valued convex compositions
Çağın Ararat
We study the composition of two set-valued functions defined on locally convex topological linear spaces. We assume that these functions map into certain complete lattices of sets…
Random sets and Choquet-type representations
Çağın Ararat, Umur Cetin
As appropriate generalizations of convex combinations with uncountably many terms, we introduce the so-called Choquet combinations, Choquet decompositions and Choquet convex decomp…
Decomposable sums and their implications on naturally quasiconvex risk measures
Çağın Ararat, Barış Bilir, Elisa Mastrogiacomo
Convexity and quasiconvexity are two properties that capture the concept of diversification for risk measures. Between the two, there is natural quasiconvexity, an old but not so w…
Dual representations for quasiconvex compositions with applications to systemic risk measures
Çağın Ararat, Mücahit Aygün
Motivated by the problem of finding dual representations for quasiconvex systemic risk measures in financial mathematics, we study quasiconvex compositions in an abstract infinite-…
End-of-Life Inventory Management Problem: Results and Insights
Emin Ozyoruk, Nesim K. Erkip, Çağın Ararat
We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inv…
Constructive covers of a finite set
Çağın Ararat, Ülkü Gürler, M. Emrullah Ildız
Given positive integers with , we consider the number of ways of choosing subsets of in such a way that the union of these subsets gives $\{1,\l…
Beyond Grids: Multi-objective Bayesian Optimization With Adaptive Discretization
Andi Nika, Sepehr Elahi, Çağın Ararat +1
We consider the problem of optimizing a vector-valued objective function sampled from a Gaussian Process (GP) whose index set is a well-behaved, compact metric spa…
Multi-objective risk-averse two-stage stochastic programming problems
Çağın Ararat, Özlem Çavuş, Ali İrfan Mahmutoğulları
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with…