arXiv subjects

Claudia Fassino

Publications and source records attributed to Claudia Fassino.

9 recordsLinked to original sources

arXiv2026

Some general results on risk budgeting portfolios

Given a reference risk measure, the risk budgeting is the portfolio where each asset contributes a predetermined amount to the total risk. We propose a novel approach, alternative to the ones proposed in the literature, for the calculation of the risk budgeting portfolio. This different perspective on the problem has several interesting consequences. For the calculation of the portfolio, we define a Cauchy sequence within the simplex of R^n, whose limit corresponds to the risk budgeting portfolio. This construction allows for the straightforward implementation of an efficient algorithm, avoiding the need to solve auxiliary, equivalent optimization problems, which may be computationally challenging and hard to interpret in the decision theory context. We compare our algorithm with the standard optimization-based methods proposed in the literature. From a theoretical point of view, starting from the Cauchy sequence, we define a function for which the risk budgeting portfolio is a fixed point. Therefore, sufficient conditions for the existence and uniqueness of the fixed point can be used. The methodology is developed for general risk measures and implemented in detail in the case of standard deviation.

q-fin.PM↗

arXiv2019

An algorithmic approach to the multiple impact of a disk in a corner

We present the algorithmic procedure determining the impulsive behavior of a rigid disk having a single or possibly multiple frictionless impact with two walls forming a corner. The algorithmic procedure represents an application of the general theory of multiple impacts as presented in \cite{Pasquero2016Multiple} for the ideal case. In the first part, two theoretical algorithms are presented for the cases of ideal impact and Newtonian frictionless impact with global dissipation index. The termination analysis of the algorithms differentiates the two cases: in the ideal case, we show that the algorithm always terminates and the disk exits from the corner after a finite number of steps independently of the initial impact velocity of the disk and the angle formed by the walls; in the non--ideal case, although is not proved that the disk exits from the corner in a finite number of steps, we show that its velocity decreases to zero and the termination of the algorithm can be fixed through an "almost at rest" condition. In the second part, we present a numerical version of both the theoretical algorithms that is more robust than the theoretical ones with respect to noisy initial data and floating point arithmetic computation. Moreover, we list and analyze the outputs of the numerical algorithm in several cases.

math.NA↗

arXiv2017

Cubature rules and expected value of some complex functions

The expected value of some complex valued random vectors is computed by means of the indicator function of a designed experiment as known in algebraic statistics. The general theory is set-up and results are obtained for finite discrete random vectors and the Gaussian random vector. The precision space of some cubature rules/designed experiments are determined.

math.PR↗

arXiv2013

The algebra of interpolatory cubature formulae for generic nodes

We consider the classical problem of computing the expected value of a real function $f$ of the $d$-variate random variable $X$ using cubature formulæ. We use in synergy tools from Commutative Algebra for cubature rulæ, from elementary orthogonal polynomial theory and from Probability.

math.ST↗

arXiv2012

Simple Approximate Varieties for Sets of Empirical Points

We present a symbolic-numeric approach for the analysis of a given set of noisy data, represented as a finite set $\X$ of limited precision points. Starting from $\X$ and a permitted tolerance $\varepsilon$ on its coordinates, our method automatically determines a low degree monic polynomial whose associated variety passes close to each point of $\X$ by less than the given tolerance $\varepsilon$.

math.AC↗

arXiv2008

Almost Vanishing Polynomials for Sets of Limited Precision Points

Let X be a set of s points whose coordinates are known with only limited From the numerical point of view, given a set X of s real points whose coordinates are known with only limited precision, each set X* of real points whose elements differ from those of X of a quantity less than the data uncertainty can be considered equivalent to X. We present an algorithm that, given X and a tolerance Tol on the data error, computes a set G of polynomials such that each element of G "almost vanishing" at X and at all its equivalent sets X*. Even if G is not, in the general case, a basis of the vanishing ideal I(X), we show that, differently from the basis of I(X) that can be greatly influenced by the data uncertainty, G can determine a geometrical configuration simultaneously characterizing the set X and all its equivalent sets X*.

math.AC↗

arXiv2007

Stable Border Bases for Ideals of Points

Let $X$ be a set of points whose coordinates are known with limited accuracy; our aim is to give a characterization of the vanishing ideal $I(X)$ independent of the data uncertainty. We present a method to compute a polynomial basis $B$ of $I(X)$ which exhibits structural stability, that is, if $\widetilde X$ is any set of points differing only slightly from $X$, there exists a polynomial set $\widetilde B$ structurally similar to $B$, which is a basis of the perturbed ideal $ I(\widetilde X)$.

math.AC↗

arXiv2007

An approximation of the Gröbner basis of ideals of perturbed points, part I

We develop a method for approximating the Gröbner basis of the ideal of polynomials which vanish at a finite set of points, when the coordinates of the points are known with only limited precision. The method consists of a preprocessing phase of the input points to mitigate the effects of the input data uncertainty, and of a new "numerical" version of the Buchberger-Möller algorithm to compute an approximation $\bar{GB}$ to the exact Gröbner basis. This second part is based on a threshold-dependent procedure for analyzing from a numerical point of view the membership of a perturbed vector to a perturbed subspace. With a suitable choice of the threshold, the set $\bar{GB}$ turns out to be a good approximation to a "possible" exact Gröbner basis or to a basis which is an "attractor" of the exact one. In addition, the polynomials of $\bar{GB}$ are "sufficiently near" to the polynomials of the extended basis, introduced by Stetter, but they present the advantage that $LT(\bar{GB})$ coincides with the leading terms of a "possible" exact case. The set of the preprocessed points, approximation to the unknown exact points, is a pseudozero set for the polynomials of $\bar{GB}$.

math.AC↗

arXiv2007

Thinning out redundant empirical data

Given a set $X$ of "empirical" points, whose coordinates are perturbed by errors, we analyze whether it contains redundant information, that is whether some of its elements could be represented by a single equivalent point. If this is the case, the empirical information associated to $X$ could be described by fewer points, chosen in a suitable way. We present two different methods to reduce the cardinality of $X$ which compute a new set of points equivalent to the original one, that is representing the same empirical information. Though our algorithms use some basic notions of Cluster Analysis they are specifically designed for "thinning out" redundant data. We include some experimental results which illustrate the practical effectiveness of our methods.

math.AG↗