In this paper, we consider the following subadditive set-valued map F ： X→P0（Y） ：where r and s are two natural numbers. And we discuss the existence and unique problem of additive selection maps for the above set...In this paper, we consider the following subadditive set-valued map F ： X→P0（Y） ：where r and s are two natural numbers. And we discuss the existence and unique problem of additive selection maps for the above set-valued map.展开更多
In this paper, we discuss the unique existent problems of a additive selection map for the following map F:X→P0(Y):F(r∑i=1αixi)■r∑i=1αiF(xi),■xi∈K,i=1, ··· , r,where αi and αi (i = 1, ·&#...In this paper, we discuss the unique existent problems of a additive selection map for the following map F:X→P0(Y):F(r∑i=1αixi)■r∑i=1αiF(xi),■xi∈K,i=1, ··· , r,where αi and αi (i = 1, ··· , r) are all non-negative real numbers.展开更多
In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation re...In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation results are given by two different methods which are convex analysis and enlarging space. Especially, the method of convex analysis make the line of reasoning and the representation result be simpler. Meanwhile, spot and forward risk measures for portfolio vectors are also introduced, and the relationships between them are investigated.展开更多
In this paper, new risk measures are introduced, tation results are also given. These newly introduced risk introduced by Song and Yan （2009） and Karoui （2009）. and the corresponding represen- measures are extens...In this paper, new risk measures are introduced, tation results are also given. These newly introduced risk introduced by Song and Yan （2009） and Karoui （2009）. and the corresponding represen- measures are extensions of those展开更多
In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. ...In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. Representation results for these new introduced risk measures for portfolios are given in terms of Choquet integrals. Links of these newly introduced risk measures to multi-period comonotonic risk measures are represented. Finally, applications of the newly introduced comonotonic coherent risk measures to capital allocations are provided.展开更多
Two theorems are proved. They are with principal significance in functional analysis, for they imply some well known theorems, such as the open mapping theorem, the closed graph theorem and the Banach Steinhaus theo...Two theorems are proved. They are with principal significance in functional analysis, for they imply some well known theorems, such as the open mapping theorem, the closed graph theorem and the Banach Steinhaus theorem.展开更多
The paper presents the properties of an alternative method,which measures market risk over time-horizon exceeding one day:Mark to market value at risk(MMVaR).Relying on the minimal returns during the time interval,thi...The paper presents the properties of an alternative method,which measures market risk over time-horizon exceeding one day:Mark to market value at risk(MMVaR).Relying on the minimal returns during the time interval,this method not only considers the non-normality of data and information about sample size,but also meets the requirement of increasing the minimal capital ratio in BaselⅢ,basically.The authors theoretically prove the translation invariance,monotonicity and subadditivity of MMVaR as a risk measure under some conditions,and study its finite sample properties through Monte Carlo simulations.The empirical analysis shows that MMVaR can measure multi-period risk accurately.展开更多
This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respecti...This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.展开更多
In this paper, we prove that for a sublinear expectation ?[·] defined on L 2(Ω, $ \mathcal{F} $ ), the following statements are equivalent: ? is a minimal member of the set of all sublinear expectations defined ...In this paper, we prove that for a sublinear expectation ?[·] defined on L 2(Ω, $ \mathcal{F} $ ), the following statements are equivalent: ? is a minimal member of the set of all sublinear expectations defined on L 2(Ω, $ \mathcal{F} $ )? is linearthe two-dimensional Jensen’s inequality for ? holds.Furthermore, we prove a sandwich theorem for subadditive expectation and superadditive expectation.展开更多
Two types of uncertainty co-exist in the theory of evidence： discord and non-specificity.From 90s, many mathematical expressions have arisen to quantify these two parts in an evidence.An important aspect of each meas...Two types of uncertainty co-exist in the theory of evidence： discord and non-specificity.From 90s, many mathematical expressions have arisen to quantify these two parts in an evidence.An important aspect of each measure presented is the verification of a coherent set of properties.About non-specificity, so far only one measure verifies an important set of those properties. Very recently, a new measure of non-specificity based on belief intervals has been presented as an alternative measure that quantifies a similar set of properties（Yang et al., 2016）. It is shown that the new measure really does not verify two of those important properties. Some errors have been found in their corresponding proofs in the original publication.展开更多
In this paper, we characterize the saturation of four universal inequalities in quantum information theory, including a variant version of strong subadditivity inequality for von Neumann entropy, the coherent informat...In this paper, we characterize the saturation of four universal inequalities in quantum information theory, including a variant version of strong subadditivity inequality for von Neumann entropy, the coherent information inequality, the Holevo quantity, and average entropy inequalities. These results shed new light on quantum information inequalities.展开更多
基金Supported by Science Foundation of Education Committee of Jilin Province of China([2011]No.434)
文摘In this paper, we consider the following subadditive set-valued map F ： X→P0（Y） ：where r and s are two natural numbers. And we discuss the existence and unique problem of additive selection maps for the above set-valued map.
基金Foundation item： Supported by the Science Foundation of Education Committee of Jilin Province（[2011] No434）
文摘In this paper, we discuss the unique existent problems of a additive selection map for the following map F:X→P0(Y):F(r∑i=1αixi)■r∑i=1αiF(xi),■xi∈K,i=1, ··· , r,where αi and αi (i = 1, ··· , r) are all non-negative real numbers.
基金Supported by the National Natural Science Foundation of China(11371284,11771343)
文摘In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation results are given by two different methods which are convex analysis and enlarging space. Especially, the method of convex analysis make the line of reasoning and the representation result be simpler. Meanwhile, spot and forward risk measures for portfolio vectors are also introduced, and the relationships between them are investigated.
基金Supported in part by the National Natural Science Foundation of China (10971157)Key Projects of Philosophy and Social Sciences Research+1 种基金Ministry of Education of China (09JZD0027)The Talent Introduction Projects of Nanjing Audit University
文摘In this paper, new risk measures are introduced, tation results are also given. These newly introduced risk introduced by Song and Yan （2009） and Karoui （2009）. and the corresponding represen- measures are extensions of those
基金Supported by the National Natural Science Foundation of China(11371284)the Natural Science Foundation of Henan Province(14B110037)
文摘In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. Representation results for these new introduced risk measures for portfolios are given in terms of Choquet integrals. Links of these newly introduced risk measures to multi-period comonotonic risk measures are represented. Finally, applications of the newly introduced comonotonic coherent risk measures to capital allocations are provided.
文摘Two theorems are proved. They are with principal significance in functional analysis, for they imply some well known theorems, such as the open mapping theorem, the closed graph theorem and the Banach Steinhaus theorem.
基金supported by the National Social Science Fund of China under Grant No.22BTJ027。
文摘The paper presents the properties of an alternative method,which measures market risk over time-horizon exceeding one day:Mark to market value at risk(MMVaR).Relying on the minimal returns during the time interval,this method not only considers the non-normality of data and information about sample size,but also meets the requirement of increasing the minimal capital ratio in BaselⅢ,basically.The authors theoretically prove the translation invariance,monotonicity and subadditivity of MMVaR as a risk measure under some conditions,and study its finite sample properties through Monte Carlo simulations.The empirical analysis shows that MMVaR can measure multi-period risk accurately.
基金This work was supported by the National Natural Science Foundation of China (Grant No. 10571167).
文摘This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.
基金supported by National Basic Research Program of China (973 Program) (Grant No.2007CB814901) (Financial Risk)National Natural Science Foundation of China (Grant No. 10671111)
文摘In this paper, we prove that for a sublinear expectation ?[·] defined on L 2(Ω, $ \mathcal{F} $ ), the following statements are equivalent: ? is a minimal member of the set of all sublinear expectations defined on L 2(Ω, $ \mathcal{F} $ )? is linearthe two-dimensional Jensen’s inequality for ? holds.Furthermore, we prove a sandwich theorem for subadditive expectation and superadditive expectation.
基金supported by the Spanish ‘‘Ministerio de Economíay Competitividad"by ‘‘Fondo Europeo de Desarrollo Regional"(FEDER)(No.TEC2015-69496-R)
文摘Two types of uncertainty co-exist in the theory of evidence： discord and non-specificity.From 90s, many mathematical expressions have arisen to quantify these two parts in an evidence.An important aspect of each measure presented is the verification of a coherent set of properties.About non-specificity, so far only one measure verifies an important set of those properties. Very recently, a new measure of non-specificity based on belief intervals has been presented as an alternative measure that quantifies a similar set of properties（Yang et al., 2016）. It is shown that the new measure really does not verify two of those important properties. Some errors have been found in their corresponding proofs in the original publication.
基金Supported by National Natural Science Foundation of China under Grant Nos.11301124,11171301the Doctoral Programs Foundation of Ministry of Education of China under Grant No.J20130061
文摘In this paper, we characterize the saturation of four universal inequalities in quantum information theory, including a variant version of strong subadditivity inequality for von Neumann entropy, the coherent information inequality, the Holevo quantity, and average entropy inequalities. These results shed new light on quantum information inequalities.
