In finance, marginal conditional stochastic dominance is a condition under which a portfolio can be improved in the eyes of all risk-averse investors by incrementally moving funds out of one asset (or one sub-group of the portfolio's assets) and into another. Each risk-averse investor is assumed to maximize the expected value of an increasing, concave von Neumann-Morgenstern utility function. All such investors prefer portfolio B over portfolio A if the portfolio return of B is second-order stochastically dominant over that of A; roughly speaking this means that the density function of A's return can be formed from that of B's return by pushing some of the probability mass of B's return to the left (which is disliked by all increasing utility functions) and then spreading out some of the density mass (which is disliked by all concave utility functions). If a portfolio A is marginally conditionally stochastically dominated by some incrementally different portfolio B, then it is said to be inefficient in the sense that it is not the optimal portfolio for anyone. Note that this context of portfolio optimization is not limited to situations in which mean-variance analysis applies. The presence of marginal conditional stochastic dominance is sufficient, but not necessary, for a portfolio to be inefficient. This is because marginal conditional stochastic dominance only considers incremental portfolio changes involving two sub-groups of assets — one whose holdings are decreased and one whose holdings are increased. It is possible for an inefficient portfolio to not be second-order stochastically dominated by any such one-for-one shift of funds, and yet to by dominated by a shift of funds involving three or more sub-groups of assets. (Wikipedia).
(PP 6.9) Conditional distributions of a Gaussian
For any subset of the coordinates of a multivariate Gaussian, the conditional distribution (given the remaining coordinates) is multivariate Gaussian.
From playlist Probability Theory
David Sutter: "A chain rule for the quantum relative entropy"
Entropy Inequalities, Quantum Information and Quantum Physics 2021 "A chain rule for the quantum relative entropy" David Sutter - IBM Zürich Research Laboratory Abstract: The chain rule for the conditional entropy allows us to view the conditional entropy of a large composite system as a
From playlist Entropy Inequalities, Quantum Information and Quantum Physics 2021
1 - Marginal probability for continuous variables
This explains what is meant by a marginal probability for continuous random variables, how to calculate marginal probabilities and the graphical intuition behind the method. If you are interested in seeing more of the material, arranged into a playlist, please visit: https://www.youtube.c
From playlist Bayesian statistics: a comprehensive course
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An introduction to the concept of marginal probabilities, via the use of a simple 2 dimensional discrete example. If you are interested in seeing more of the material, arranged into a playlist, please visit: https://www.youtube.com/playlist?list=PLFDbGp5YzjqXQ4oE4w9GVWdiokWB9gEpm For mo
From playlist Bayesian statistics: a comprehensive course
Dylan Possamaï: Principal Agent Modelling - lecture 1
CIRM HYBRID EVENT These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incenti
From playlist Probability and Statistics
Xiaolu Tan: On the martingale optimal transport duality in the Skorokhod space
We study a martingale optimal transport problem in the Skorokhod space of cadlag paths, under finitely or infinitely many marginals constraint. To establish a general duality result, we utilize a Wasserstein type topology on the space of measures on the real value space, and the S-topology
From playlist HIM Lectures 2015
Determining the truth of a conditional statement
👉 Learn how to determine the truth or false of a conditional statement. A conditional statement is an if-then statement connecting a hypothesis (p) and the conclusion (q). If the hypothesis of a statement is represented by p and the conclusion is represented by q, then the conditional stat
From playlist Conditional Statements
What is a conditional probability?
An introduction to the concept of conditional probabilities via a simple 2 dimensional discrete example. If you are interested in seeing more of the material, arranged into a playlist, please visit: https://www.youtube.com/playlist?list=PLFDbGp5YzjqXQ4oE4w9GVWdiokWB9gEpm For more inform
From playlist Bayesian statistics: a comprehensive course
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👉 Learn how to determine the truth or false of a conditional statement. A conditional statement is an if-then statement connecting a hypothesis (p) and the conclusion (q). If the hypothesis of a statement is represented by p and the conclusion is represented by q, then the conditional stat
From playlist Conditional Statements
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👉 Learn how to determine the truth or false of a conditional statement. A conditional statement is an if-then statement connecting a hypothesis (p) and the conclusion (q). If the hypothesis of a statement is represented by p and the conclusion is represented by q, then the conditional stat
From playlist Conditional Statements
Peter Pivovarov: Random s-concave functions and isoperimetry
I will discuss stochastic geometry of s-concave functions. In particular, I will explain how a ”local” stochastic isoperimetry underlies several functional inequalities. A new ingredient is a notion of shadow systems for s-concave functions. Based on joint works with J. Rebollo Bueno.
From playlist Workshop: High dimensional spatial random systems
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From playlist Large deviation theory in statistical physics: Recent advances and future challenges
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Large deviation theory in statistical physics: Recent advances and future challenges DATE: 14 August 2017 to 13 October 2017 VENUE: Madhava Lecture Hall, ICTS, Bengaluru Large deviation theory made its way into statistical physics as a mathematical framework for studying equilibrium syst
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Twenty third SIAM Activity Group on FME Virtual Talk Series
Date: Thursday, December 2, 2021, 1PM-2PM ET Speaker 1: Renyuan Xu, University of Southern California Speaker 2: Philippe Casgrain, ETH Zurich and Princeton University Moderator: Ronnie Sircar, Princeton Universit Join us for a series of online talks on topics related to mathematical fina
From playlist SIAM Activity Group on FME Virtual Talk Series
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From playlist Probability
Raúl Tempone: Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
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From playlist Columbia SPDE Seminar
Jim Nolen: "A free boundary problem from Brownian bees in the infinite swarm limit in R^d"
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From playlist High Dimensional Hamilton-Jacobi PDEs 2020
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👉 Learn how to find the contrapositive of a statement. The contrapositive of a statement is the switching of the hypothesis and the conclusion of a conditional statement and negating both. If the hypothesis of a statement is represented by p and the conclusion is represented by q, then the
From playlist Contrapositive of a Statement