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Coherent Measures of Risk
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirableExpand
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Coherent multiperiod risk adjusted values and Bellman’s principle
We define risk measurement processes and deduce risk measurements for the final value of locked-in positions and repeat a warning concerning Tail-Value-at-risk. Expand
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Modelling the evolution of demand forecasts with application to safety stock analysis in production distribution systems
In this paper, we propose a general probabilistic model for modeling the evolution of demand forecasts, referred to as the Martingale Model of Forecast Evolution (MMFE). We combine the MMFE with aExpand
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An Introduction To Experimental Design And Statistics For Biology
  • D. Heath
  • Computer Science, Biology
  • 26 October 1995
Why Biologists Need Experimental Design and Statistics. Habitat Choice in Woodlice: Some Basic Ideas in Experimental Design and Statistics. Variables, Populations and Samples. Describing Samples.Expand
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Bandit problems with infinitely many arms
We consider a bandit problem consisting of a sequence of n choices from an infinite number of Bernoulli arms, with n → ∞. The objective is to minimize the long-run failure rate. The BernoulliExpand
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A valency dictionary of English: a corpus-based analysis of the complementation patterns of English verbs, nouns and adjectives
This dictionary provides a valency description of English verbs, nouns and adjectives. Expand
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A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk‐minimization versus mean‐variance hedging in a class of stochastic volatilityExpand
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We explain why and how to deal with the definition, acceptability, computation and management of risk in a genuinely multitemporal way. Coherence axioms provide a representation of a risk-adjustedExpand
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Pareto Equilibria with coherent measures of risk
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present necessary and sufficient conditions for equilibrium in a market with finitely many traders (whom weExpand
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