This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of efficient portfolios. We show some robustness of optimal portfolios with respect to the choice of risk measure. Unsurprisingly, risk measures that emphasize large losses lead to slightly more diversified portfolios. However, risk measures that account primarily for worst case scenarios overweight funds with smaller tails which mitigates the relevance of diversification.JEL Classification: C61 ; D81 ; D84 ; G11

Modeling strong gravitational lenses in order to quantify the distortions in the images of background sources and to reconstruct the mass density in the foreground lenses has traditionally been a difficult computational challenge. As the quality of gravitational lens images increases, the task of fully exploiting the information they contain becomes computationally and algorithmically more difficult. In this work, we use a neural network based on the Recurrent Inference Machine (RIM) to simultaneously reconstruct an undistorted image of the background source and the lens mass density distribution as pixelated maps. The method we present iteratively reconstructs the model parameters (the source and density map pixels) by learning the process of optimization of their likelihood given the data using the physical model (a ray-tracing simulation), regularized by a prior implicitly learned by the neural network through its training data. When compared to more traditional parametric models, the proposed method is significantly more expressive and can reconstruct complex mass distributions, which we demonstrate by using realistic lensing galaxies taken from the cosmological hydrodynamic simulation IllustrisTNG.

Inferring accurate posteriors for high-dimensional representations of the brightness of gravitationally-lensed sources is a major challenge, in part due to the difficulties of accurately quantifying the priors. Here, we report the use of a score-based model to encode the prior for the inference of undistorted images of background galaxies. This model is trained on a set of high-resolution images of undistorted galaxies. By adding the likelihood score to the prior score and using a reverse-time stochastic differential equation solver, we obtain samples from the posterior. Our method produces independent posterior samples and models the data almost down to the noise level. We show how the balance between the likelihood and the prior meet our expectations in an experiment with out-of-distribution data.

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Likelihood analysis is typically limited to normally distributed noise due to the difficulty of determining the probability density function of complex, high-dimensional, non-Gaussian, and anisotropic noise. This is a major limitation for precision measurements in many domains of science, including astrophysics, for example, for the analysis of the cosmic microwave background, gravitational waves, gravitational lensing, and exoplanets. This work presents Score-based LIkelihood Characterization, a framework that resolves this issue by building a data-driven noise model using a set of noise realizations from observations. We show that the approach produces unbiased and precise likelihoods even in the presence of highly non-Gaussian correlated and spatially varying noise. We use diffusion generative models to estimate the gradient of the probability density of noise with respect to data elements. In combination with the Jacobian of the physical model of the signal, we use Langevin sampling to produce independent samples from the unbiased likelihood. We demonstrate the effectiveness of the method using real data from the Hubble Space Telescope and James Webb Space Telescope.

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