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Record W3125035203

Surplus-invariant risk measures

2017· preprint· en· W3125035203 on OpenAlexaff
Niushan Gao, Cosimo Munari

Bibliographic record

VenueRePEc: Research Papers in Economics · 2017
Typepreprint
Languageen
FieldDecision Sciences
TopicRisk and Portfolio Optimization
Canadian institutionsToronto Metropolitan University
Fundersnot available
KeywordsInvariant (physics)MathematicsLattice (music)Pure mathematicsDual (grammatical number)Mathematical economicsEconometrics
DOInot available

Abstract

fetched live from OpenAlex

This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some special spaces of random variables. In this paper, we develop a theory of surplus invariance in its natural framework, namely, that of vector lattices. Besides providing a unifying perspective on the existing literature, we establish a variety of new results including dual representations and extensions of surplus-invariant risk measures and structural results for surplus-invariant acceptance sets. We illustrate the power of the lattice approach by specifying our results to model spaces with a dominating probability, including Orlicz spaces, as well as to robust model spaces without a dominating probability, where the standard topological techniques and exhaustion arguments cannot be applied.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.024
metaresearch head score (Gemma)0.019
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMetaresearch, Meta-epidemiology (narrow), Scholarly communication, Research integrity
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Other design · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.836
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0240.019
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.000
Science and technology studies0.0010.001
Scholarly communication0.0020.000
Open science0.0040.002
Research integrity0.0010.003
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.141
GPT teacher head0.415
Teacher spread0.274 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designOther design
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2017
Admission routes1
Has abstractyes

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