Speaker: Prof. Miloš Kopa, Dept. Probability & Mathematics, Charles University, Prague Abstract: Stochastic dominance rules are well-characterized and widely used. This work aims to describe and better understand the situations when they do not hold by developing measures of stochastic non-dominance. They quantify the error caused by assuming that one random variable dominates another one […]

Speaker: Prof. Dr. Dirk Soehnholz, CEO: Soehnholz ESG GmbH and Soehnholz Asset Management GmbH; Prof. of Asset Management, Leipzig University Abstract: Responsible investments are booming, but criticism has been growing, too. I start by outlining the different dimensions and characteristics of responsible investments. I also describe a free tool to develop bespoke, responsible investment policies […]

Speaker: Prof. Álvaro Guinea Julia, Dept. Industrial Org., Comillas Pontifical University ICADE-ICAI, Madrid Abstract: This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function, which can be applied to price European options. Empirical […]

Speaker: Dr. Assa Hirbod, Founding team | Quantitative researcher, Edge Technologies; Director and founder, Model Library Ltd. Abstract: In this paper, we utilize data from the IPCC to develop a predictive model for the Palmer Drought Severity Index (PDSI). Our approach involves a two-step modeling process: initially applying a random forest regression, followed by a […]

Speaker: Prof. Riza Demirer, Dept. Economics & Finance, School of Business, Southern Illinois University, Edwardsville, IL Abstract: Recent years have seen that institutional investors simultaneously crowd in (buy) the ESG stock market. The aim of this study is to investigate the underlying motivations and their economic consequences. The empirical results are consistent with the hypothesis […]