Using the language of convex analysis, we describe key results in several important areas of finance: portfolio theory, financial derivative trading and pricing and consumption based asset pricing theory. We hope to emphasize the importance of convex analysis in financial mathematics and also...

We carry out several test cases to illustrate how the Probability of Backtest Overfitting (PBO) performs under different scenarios. We also assess the accuracy of PBO using two alternative approaches (Monte Carlo Methods and Extreme Value Theory).The paper "The Probability of Backtest...