Increasingly detailed consumer information makes sophisticated price discrimination possible. At fine levels of aggregation, demand may not obey standard regularity conditions. We propose a new randomized sales mechanism for such environments. Bidders can “buy-it-now” at a posted price, or “take-a-chance” in an auction where the top d > 1 bidders are equally likely to win. The randomized alloca...

this paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (var) for both long and short positions using the hyaparch model and daily data for tehran stock exchange price index (tepix). our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom is able to capture the asymmetry app...

deviding both the subjects and the predicates of the categorical propositions into actuality and verity, afzal al-din khunaji states the actuality-parts as adjectives, but verity-parts in three forms: as simple, as relational and as conditional. since the adjectives are formulated in modern logic by conjunction, we can formulate actuality-parts as conjunctions. verity-parts can be formulated at...

Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...

Abstract. We propose nonparametric estimators for conditional value-at-risk (VaR) and expected shortfall (ES) associated with conditional distributions of a series of returns on a financial asset. The return series and the conditioning covariates, which may include lagged returns and other exogenous variables, are assumed to be strong mixing and follow a fully nonparametric conditional location...

We discuss linear regression approaches to the estimation of law-invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least-squares method, and the other is in the spirit of the M-estimation approach used in robust statistics. In particular, value-at-risk and average valueat-risk measures are discussed in d...

We analyze bidding behavior in large discriminatory-price auctions in a common value setting where the number of objects is a non-trivial proportion of the number of bidders. We show that the average price paid in the auction is biased downward from the expected value of the objects, even in the competitive limit. We show that conditional on a signal that falls below a threshold, a bidder bids ...

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are important risk measures. They are often estimated by using importance sampling (IS) techniques. In this paper, we derive the asymptotic representations for IS estimators of VaR and CVaR. Based on these representations, we are able to prove the consistency and asymptotic normality of the estimators and to provide simple conditions unde...

From the mathematical perspective considered in this tutorial, risk management is a procedure for shaping a risk distribution. Popular functions managing risk are valueat-risk (VaR) and conditional value-at-risk (CVaR). The problem of choice between VaR and CVaR, especially in financial risk management, has been quite popular in academic literature. Reasons affecting the choice between VaR and ...

A considerable amount of studies have been established on conditional reasoning supporting mental model theory of propositional reasoning. Mental model theory proposed by Johnson- larid and Byrne is an explanation of someone's thought process about how something occurs in the real world. Conditional reasoning as a kind of reasoning is the way to speak about possibilities or probabilities. The a...